IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v98y2025ics1059056025000061.html
   My bibliography  Save this article

Liquidity spillover and investment strategy construction among Chinese green financial markets

Author

Listed:
  • Gao, Yang
  • Zhou, Yueyi
  • Zhao, Wandi

Abstract

This study investigates liquidity spillover effects within Chinese green financial markets and their implications for investment strategy construction. Utilizing time-varying parameter vector autoregression and quantile connectedness methods, we analyze the interconnectedness of these markets from both temporal and quantile perspectives. Our findings reveal that liquidity spillovers exhibit notable time-varying characteristics, with spillover effects being weaker in low and intermediate quantiles and more pronounced in high quantile. The minimum connectedness portfolio analysis demonstrates superior performance with more stable and higher cumulative returns surpassing most individual assets. Furthermore, including green bonds in these portfolios is an effective strategy for mitigating portfolio risk.

Suggested Citation

  • Gao, Yang & Zhou, Yueyi & Zhao, Wandi, 2025. "Liquidity spillover and investment strategy construction among Chinese green financial markets," International Review of Economics & Finance, Elsevier, vol. 98(C).
    • Handle: RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000061
    DOI: 10.1016/j.iref.2025.103843
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059056025000061
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2025.103843?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Green financial markets; Liquidity spillover; Quantile connectedness; Minimum connectedness portfolio;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000061. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.