Multiscale quantile dependence between China's green bond and green equity: Fresh evidence from higher-order moment perspective

This study investigates the multiscale quantile dependence between green bond and green equity in China at different moments and investment horizons. A novel Ensemble Empirical Mode Decomposition based Copula Quantile-on-Quantile Regression model (EC-QQR) has been proposed to quantify the multiscale quantile dependence between two green finance markets for different moments. The empirical findings reveal that, first, green bonds have positive correlations with green equities at kurtosis and negative correlations at skewness. Second, the “tail effect” can be found in extreme quantiles for most short- and medium-terms. Third, the rolling window analysis provides evidence of dynamic dependence, especially for the kurtosis moment in the short term, and interdependence is susceptible to major events such as the Sino-US trade war and COVID-19. These findings have implications for investment strategies and risk management in the green finance markets.