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Re-examining the nexus between Chinese carbon markets with energy and non-energy commodity markets in a novel risk spillover network approach

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  • Bouteska, A.
  • Rahman, Mashuk
  • Hassan, M. Kabir
  • Sanchez, Benito A.

Abstract

This research aims to explore the impact of five green energy subsectors (specifically, the solar power generation concept index, wind power generation concept index, Geothermal energy concept index, nuclear power concept index, and biomass and biofuel concept index) as well as five commodity indices (NHECI Nanhua energy and chemical index, NHAI Nanhua agricultural index, NHPMI Nanhua precious metal index, NHMI Nanhua metal index, and NHII Nanhua industry index) on restricted carbon emissions within five cities and provinces: Beijing, Guangdong, Hubei, Shanghai, and Shenzhen. The study analyzes data reflecting the fluctuation in CO2 emissions during three significant periods: the Covid-19 pandemic, the Russia-Ukraine conflict, and the China recession, spanning from January 1, 2022, to September 30, 2023. Utilizing the Vector Autoregressive (VAR) model and an innovative quantile connectedness framework, the research uncovers a substantial degree of cross-market risk transmission, exceeding 80 %, particularly during and after the Covid-19 pandemic. This implies that the shocks from the Covid-19 pandemic and the Russia-Ukraine conflict have heightened the interconnections between carbon emissions and both clean energy and non-clean commodity markets.

Suggested Citation

  • Bouteska, A. & Rahman, Mashuk & Hassan, M. Kabir & Sanchez, Benito A., 2025. "Re-examining the nexus between Chinese carbon markets with energy and non-energy commodity markets in a novel risk spillover network approach," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
    • Handle: RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x2500157x
    DOI: 10.1016/j.pacfin.2025.102820
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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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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