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Dynamic connectedness between China green bond, carbon market and traditional financial markets: Evidence from quantile connectedness approach

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  • Zhang, He
  • Gong, Zhenting
  • Yang, Yunglieh
  • Chen, Fan

Abstract

The present study employs the quantile connectedness approach to examine the linkage among China’s green bond market, carbon market, and traditional financial markets within a network system. The results of our study indicate that the stronger connectedness of system is driven by special events. During periods of extreme market conditions, foreign exchange and carbon markets exhibit a net-receiving behavior, whilst the bond markets play the net-transmitting roles. Additionally, stock and commodity markets exhibit asymmetric and alternate between net-receiver and net-transmitter status. These insights have the potential to inform and shape portfolio allocations.

Suggested Citation

  • Zhang, He & Gong, Zhenting & Yang, Yunglieh & Chen, Fan, 2023. "Dynamic connectedness between China green bond, carbon market and traditional financial markets: Evidence from quantile connectedness approach," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008450
    DOI: 10.1016/j.frl.2023.104473
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    2. 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.

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