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The complexity of connection between green bonds and carbon markets: New evidence from China

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  • Yan, Leilei
  • Han, Wei

Abstract

This study proposes a frequency domain quantile‒qua ntile connectedness approach that can be used to explore the complex linkages between the Chinese carbon market (CM) and three types of green bond markets (GBMs). Empirical results indicate extreme connectedness between the CM and GBM and that the short-term effect is stronger than the long-term effect. In addition, the total connectedness between the CM and GBM at the inversely related quantiles is usually greater than the total connectedness at the directly related quantiles, with exceptions in the long-term frequency domain. Third, in the short term, shocks are transmitted mainly from the GBM to the CM, but extreme negative volatility in CM prices may reverse the direction of this transmission. Finally, in the long term, shocks are transmitted mainly from the CM to the GBM, but extreme price volatility in the GBM can alter the transmission path.

Suggested Citation

  • Yan, Leilei & Han, Wei, 2025. "The complexity of connection between green bonds and carbon markets: New evidence from China," Finance Research Letters, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:finlet:v:84:y:2025:i:c:s1544612325010487
    DOI: 10.1016/j.frl.2025.107790
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