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Risk spillover effect and portfolio strategy between Chinese commodity futures market and international green finance market

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  • Liu, Jian
  • Chen, Chaoqiang
  • Mao, Xiaodan

Abstract

This study investigates risk spillover and portfolio optimization between the Chinese commodity futures market and the international green finance market. Using the maximum overlapping discrete wavelet transform (MODWT) and a rolling window vector autoregression-based Diebold–Yılmaz spillover index model, combined with complex network analysis, this study examines risk spillover across different time frequencies and network structures. The findings reveal that risk spillover occurs across multiple time scales, with the international green finance market consistently playing a dominant role, particularly through the green stock market. Although China’s commodity futures market shows a relatively modest overall spillover effect, its significance becomes more pronounced with increasing time scales. The risk spillover network analysis indicates that risk transmission between markets intensifies during extreme events, with the severity of each event directly influencing the complexity of the network. Moreover, the denser connections in the risk spillover network at medium- and long-term scales emphasize the need for investors to prioritize these periods. Portfolio optimization simulations under various investment strategies demonstrate the role of international green finance market in enhancing the performance of China’s commodity futures market by effectively enhancing diversification. These insights may be highly valuable for regulatory bodies aiming to bolster macroprudential regulation and for investors seeking to better manage risks, enhancing the understanding of cross-market risk transmission mechanisms.

Suggested Citation

  • Liu, Jian & Chen, Chaoqiang & Mao, Xiaodan, 2025. "Risk spillover effect and portfolio strategy between Chinese commodity futures market and international green finance market," Research in International Business and Finance, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925003320
    DOI: 10.1016/j.ribaf.2025.103076
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    • F3 - International Economics - - International Finance
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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