气候变化领域集成服务门户(CCPortal): Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets

CCPortal

DOI	10.1016/j.energy.2024.130504
	Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets
	Wu, Ruirui; Qin, Zhongfeng
发表日期	2024
ISSN	0360-5442
EISSN	1873-6785
起始页码	292
卷号	292
英文摘要	Green finance markets focus on environment-friendly investments and help address climate change. This study explores the asymmetric dynamic volatility spillovers among new energy, environmental, social and governance (ESG), green bond and carbon markets in China, by developing an asymmetric dynamic volatility connectedness approach. Our results show that (i) the persistence of asymmetric volatility shock transmission between new energy and ESG stock markets is about 40 days, which is higher than that of carbon or green bond markets; (ii) bad total volatility spillovers dominate good total volatility spillovers after the COVID-19 outbreak; (iii) for both good and bad volatility, ESG and green bond markets are mainly net transmitters, while new energy and carbon markets are mainly net receivers; and (iv) the bad volatility spillovers to new energy and ESG stock markets from other markets in the green finance system are higher than good volatility spillovers. However, the good volatility spillovers to carbon and green bond markets from other markets are higher than bad volatility spillovers. These findings provide vital insights for policymakers and investors.
英文关键词	Asymmetric volatility spillovers; Green finance markets; New energy; Dynamic connectedness
语种	英语
WOS研究方向	Thermodynamics ; Energy & Fuels
WOS类目	Thermodynamics ; Energy & Fuels
WOS记录号	WOS:001178769400001
来源期刊	ENERGY
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/293134
作者单位	Beijing University of Chemical Technology; Beihang University; Beihang University
推荐引用方式 GB/T 7714	Wu, Ruirui,Qin, Zhongfeng. Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets[J],2024,292.
APA	Wu, Ruirui,&Qin, Zhongfeng.(2024).Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets.ENERGY,292.
MLA	Wu, Ruirui,et al."Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets".ENERGY 292(2024).