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Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective

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  • Liu, Rongyan
  • He, Lingyun
  • Xia, Yufei
  • Fu, Yating
  • Chen, Ling

Abstract

Green finance is an essential instrument for achieving sustainable development. Objectively addressing correlations among different green finance markets is conducive to the risk management of investors and regulators. This paper presents evidence on the time-varying correlation effects and causality among the green bond market, green stock market, carbon market, and clean energy market in China at multi-frequency scales by combining the methods of Ensemble Empirical Mode Decomposition Method (EEMD), Dynamic Conditional Correlation (DCC) GARCH model, Time-Varying Parameter Vector Autoregression with Stochastic Volatility Model (TVP-VAR-SV), and Time-varying Causality Test. In general, the significant negative time-varying correlations among most green finance markets indicate a prominent benefit of risk hedging and portfolio diversification among green financial assets. In specific, for different time points and lag periods, the green finance market shock has obvious time-varying, positive and negative alternating effects in the short-term scales, while its time delay and persistence are more pronounced in the medium-term and long-term scales. Interestingly, a positive event shock will generate positive connectivity among most green finance markets, whereas a negative event including the China/U.S. trade friction and the COVID-19 pandemic may exacerbate the reverse linkage among green finance markets. Furthermore, the unidirectional causality of “green bond market - carbon market - green stock and clean energy markets” was established during 2018–2019.

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  • Liu, Rongyan & He, Lingyun & Xia, Yufei & Fu, Yating & Chen, Ling, 2023. "Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372
    DOI: 10.1016/j.najef.2023.101914
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