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Does biodiversity attention affect risk spillover in the AFHF sectors?—Evidence from Chinese stock markets

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  • Zhang, Min
  • Chen, Guorong
  • Deng, Jing

Abstract

This study constructs a China Biodiversity Attention Index (BAI) and examines its impact on the spillover effects among agriculture, forestry, animal husbandry, and fishery (AFHF) sectors. Using the quantile connectivity approach, we estimate cross-sector risk spillovers among these sectors. The findings reveal that increased attention to biodiversity following the release of the Kunming Declaration reduces the total spillover effects among these sectors. Furthermore, employing the GARCH-MIDAS model, we demonstrate that attention to biodiversity mitigates the total spillover of the AFHF sectors during extreme upward movements; however, its impact on the risk spillover of the four specific sectors varies.

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  • Zhang, Min & Chen, Guorong & Deng, Jing, 2025. "Does biodiversity attention affect risk spillover in the AFHF sectors?—Evidence from Chinese stock markets," Finance Research Letters, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325007810
    DOI: 10.1016/j.frl.2025.107522
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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