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Connectedness between carbon and sectoral commodity markets: Evidence from China

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  • Wu, Ruirui
  • Qin, Zhongfeng
  • Liu, Bing-Yue

Abstract

The carbon market is an efficient mechanism to reduce CO2 emissions and thus respond to climate change. This work reveals the connectedness and its determinants between carbon and sectoral commodity markets in China. For this purpose, we apply the newly developed quantile-based connectedness measures that allow us to distinguish the relationship between markets under normal and extreme market conditions. The results indicate that: (i) the total spillovers in the carbon-commodity system in both tails are apparently bigger than that at the middle quantile, and are obviously affected by the Russia-Ukraine conflict; (ii) carbon markets receive more information from carbon-intensive commodity markets than from relatively low-carbon commodity markets in both tails; (iii) carbon markets mainly exhibit commodity attributes under normal market conditions, but exhibit commodity and financial attributes under extreme market conditions; and (iv) the spillovers between carbon and commodity markets are more influenced by monetary policy factors in both tails.

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  • Wu, Ruirui & Qin, Zhongfeng & Liu, Bing-Yue, 2023. "Connectedness between carbon and sectoral commodity markets: Evidence from China," Research in International Business and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:riibaf:v:66:y:2023:i:c:s027553192300199x
    DOI: 10.1016/j.ribaf.2023.102073
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    Cited by:

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    2. XueRong Bai & Yan Chen & Fan Yang, 2025. "Research on the risk spillover effect between China’s national carbon emissions trading market and crude oil futures market," PLOS ONE, Public Library of Science, vol. 20(1), pages 1-20, January.
    3. Wen, Fenghua & Wang, Kangsheng & Zeng, Aiqing, 2024. "Return spillover across the carbon market and financial markets: A quantile-based approach," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Ha, Le Thanh & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
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    7. Wu, Ruirui, 2026. "How do climate risk and geopolitical risk impact shipping markets?," Research in International Business and Finance, Elsevier, vol. 81(C).
    8. Albrecht, Peter & Kočenda, Evžen & de Oliveira, Alexandre Silva & Ceretta, Paulo Sergio & Drábek, Michal, 2025. "Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis," Research in International Business and Finance, Elsevier, vol. 75(C).
    9. Ding, Shusheng & Wang, Anqi & Cui, Tianxiang & Du, Anna Min & Zhou, Xinmiao, 2024. "Commodity market stability and sustainable development: The effect of public health policies," Research in International Business and Finance, Elsevier, vol. 70(PB).
    10. Wu, Ruirui & Li, Bin & Qin, Zhongfeng, 2024. "Spillovers and dependency between green finance and traditional energy markets under different market conditions," Energy Policy, Elsevier, vol. 192(C).

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