Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market

Hongjun Zeng, Ramzi Benkraiem (), Mohammad Zoynul Abedin and Petr Hajek
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Ramzi Benkraiem: Audencia Business School
Mohammad Zoynul Abedin: Swansea University
Petr Hajek: Faculty of Economics and Administration - University of Pardubice

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Abstract: This paper investigates the dynamic transition of the Chinese stock market towards a just and sustainable future by examining the tail risk connectedness and frequency-quantile dependence between a series of sustainability indices and Chinese stock market sectors. Employing the novel TVP-VAR-CAViaR connectedness method and the wavelet quantile correlation (WQC) method, we capture the evolving relationship between sustainability factors and market performance. Considering the significant, far-reaching, and lasting effects of such uncertainties on the financial markets, our analysis provides essential guidance for investors and policymakers alike in navigating decisions and crafting regulations.

Keywords: Chinese stock market sector; Tail risk; Wavelet quantile correlation; Macro risk factor; Sustainability Index (search for similar items in EconPapers)
Date: 2025-11
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Published in European Financial Management, 2025, 31 (5), pp.1742-1770. ⟨10.1111/eufm.12560⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05444702

DOI: 10.1111/eufm.12560

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