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Quantile connectedness among climate policy uncertainty, news sentiment, oil and renewables in China

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  • Yan, Wan-Lin
  • Cheung, Adrian (Wai Kong)

Abstract

This paper examines the return, volatility, and higher-order connectedness among climate policy uncertainty, news sentiment, the oil market, and the renewable energy market in China. Using the quantile connectedness method, the study analyzes market conditions across stable, bearish, and bullish scenarios for each order moment. The findings show that total connectedness is time-varying and tends to intensify, particularly under extreme market conditions. Climate policy uncertainty is identified as a net shock transmitter during extreme market scenarios but serves as a net shock recipient in stable markets. The renewable energy market acts as a net shock transmitter in bullish markets and as a net shock recipient in stable markets. Similarly, news sentiment functions as a net shock recipient in bearish markets but transitions to a net shock transmitter in stable markets. The Chinese crude oil market consistently acts as a net shock transmitter in return connectedness but serves as a shock recipient in volatility connectedness. However, its role in higher-order moment connectedness varies depending on market conditions. Furthermore, net pairwise connectedness exhibits time-varying characteristics, influenced by market scenarios and order moments. For net return connectedness, news sentiment transmits shocks to the Chinese crude oil market during stable market conditions, while it acts as a shock recipient during extreme market scenarios.

Suggested Citation

  • Yan, Wan-Lin & Cheung, Adrian (Wai Kong), 2025. "Quantile connectedness among climate policy uncertainty, news sentiment, oil and renewables in China," Research in International Business and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000704
    DOI: 10.1016/j.ribaf.2025.102814
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    More about this item

    Keywords

    Quantile connectedness; Climate policy uncertainty; Crude oil market; News sentiment; Renewable energy market;
    All these keywords.

    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
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q58 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environmental Economics: Government Policy

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