Short-term impacts vs. long-term contributions: The role of clean energy and ESG investments in China

This paper is the first in the literature on Environmental, Social, and Governance (ESG) investments and clean energy markets to employ a time-frequency-quantile framework, exploring the interrelations among energy commodities (such as oil, coal, and coke), clean energy equities, and ESG investments in China. The main findings reveal that, in the short term, clean energy equities are substantial net contributors, while commodity markets primarily act as recipients. Over a long horizon, ESG investments emerge as the foremost contributors, followed by coke and solar investments, while clean energy equities diminish in significance. Oil, nuclear equities, and green bonds are significant recipients in this dynamic. Furthermore, our analysis highlights the dominance of short-term shocks over long-term shocks in influencing these markets. Quantile analysis underscores unique behaviors under extreme market conditions. Notably, strong connections between oil and coke with other financial markets are observed during extreme periods, such as bull or bear phases, contrasting with their interactions under normal conditions. Conversely, coal exhibits strong interdependencies across various market scenarios, distinguishing it from the patterns observed for oil commodities.