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Quantile interdependence and network connectedness between China's green financial and energy markets

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  • Gao, Yang
  • Zhou, Yueyi
  • Zhao, Longfeng

Abstract

This study examines the risk spillover among green financial and energy markets, including the green bond, green stock, carbon, new and traditional energy markets, and utilizes the quantile-on-quantile regression and quantile connectedness methods to study the pairwise interaction and connectivity at different quantiles. We find significant differences and time-varying characteristics in markets’ volatility. The results of quantile-on-quantile regressions further reveal heterogeneity in pairwise market interaction under different volatility conditions. Considering the impact of China's economic policy uncertainty index, the quantile connectedness results indicate that risk spillovers strengthen in the high quantile and weaken in the low or middle quantile cases. Under most conditions, the green stock market serves as a transmitter, whereas the green bond market serves as a receiver. The analysis in subsamples further reveals that special events could increase risk spillovers, leading to severe fluctuations, especially for intermediate quantiles. These findings will provide a reference for investors to construct portfolios and policymakers to improve risk supervision.

Suggested Citation

  • Gao, Yang & Zhou, Yueyi & Zhao, Longfeng, 2024. "Quantile interdependence and network connectedness between China's green financial and energy markets," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1148-1177.
    • Handle: RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1148-1177
    DOI: 10.1016/j.eap.2024.02.011
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    More about this item

    Keywords

    Green financial markets; Economic policy uncertainty; Quantile-on-quantile regression; Quantile connectedness;
    All these keywords.

    JEL classification:

    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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