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Dynamic spillovers between Shanghai crude oil futures and China's green markets: Evidence from quantile-on-quantile connectedness approach

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  • Liu, Min
  • Liu, Hongfei
  • Ping, Weiying

Abstract

This paper provides a preliminary investigation of the dynamic relationship between crude oil and different green assets by examining the spillover effects between the Shanghai crude oil futures (INE), carbon emissions trading (CET), ESG stocks (ESG), clean energy stocks (CSI) and green bonds (GB) markets. The innovation of this paper is its adoption of the quantile-on-quantile connectedness approach to analyze the spillover effects that occur in these markets across various quantiles and provide more accurate and comprehensive empirical results. Our results can be summarized as follows. First, CSI and ESG are positively correlated with INE during the sample period, while CET and GB are negatively correlated with INE. Second, CET has strong potential to hedge against oil shocks during normal market states, while GB shows better hedging performance during extreme market states. Third, regardless of the quantile level, ESG and CSI play the role of primary information transmitters in the network, while GB and CET act more as net spillover recipients. These findings help oil investors to realign their portfolios for risk avoidance and provide policymakers with a reference for formulating policy measures.

Suggested Citation

  • Liu, Min & Liu, Hongfei & Ping, Weiying, 2025. "Dynamic spillovers between Shanghai crude oil futures and China's green markets: Evidence from quantile-on-quantile connectedness approach," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 78-93.
    • Handle: RePEc:eee:ecanpo:v:85:y:2025:i:c:p:78-93
    DOI: 10.1016/j.eap.2024.11.006
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