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Tail risk connectedness in the Carbon-Finance nexus: Evidence from a quantile spillover approach in China

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  • Gong, Zhenting
  • Chen, Yanbei
  • Zhang, He
  • Chen, Fan

Abstract

This research delves into the complex relationship between China’s carbon market and its associated financial counterparts. Utilizing the quantile connectedness approach, the study highlights the system’s susceptibility to external events, such as the COVID-19 pandemic and COP27. A notable discovery is the asymmetric tail dependence within the ’Carbon-Finance’ system, with a U-shaped interconnectedness pattern emphasizing the role of tail spillover. As these markets become increasingly interwoven, the findings underscore the importance for policymakers to consider both immediate and long-term implications, advocating for enhanced regulatory measures and international collaboration.

Suggested Citation

  • Gong, Zhenting & Chen, Yanbei & Zhang, He & Chen, Fan, 2024. "Tail risk connectedness in the Carbon-Finance nexus: Evidence from a quantile spillover approach in China," Finance Research Letters, Elsevier, vol. 67(PB).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pb:s154461232400833x
    DOI: 10.1016/j.frl.2024.105803
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F64 - International Economics - - Economic Impacts of Globalization - - - Environment

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