Asymmetric Effects of Renewable Energy Markets on China's Green Financial Markets: A Perspective of Time and Frequency Dynamic Connectedness

被引：1

作者：

Meng, Juan ^{[1
]}

Jiang, Yonghong ^{[2
]}

Zhao, Haiwen ^{[3
]}

Tanliang, Ansheng ^{[2
]}

机构：

[1] Hunan First Normal Univ, Business Sch, Changsha 410205, Peoples R China

[2] Jinan Univ, Sch Econ, Guangzhou 510006, Peoples R China

[3] Med Business Sch, F-75013 Paris, France

来源：

MATHEMATICS | 2024年 / 12卷 / 13期

关键词：

renewable energy market; green financial market; time-frequency connectedness; hedging effect; VOLATILITY CONNECTEDNESS; OIL PRICE; RISK; BOND; CRYPTOCURRENCY; SPILLOVER; LINKAGES; WAVELET; COPULA;

D O I：

10.3390/math12132038

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This study investigates dynamic risk spillover effects between renewable energy markets and Chinese green financial markets from a time-frequency perspective by utilizing weekly data from two types of markets with a span from January 2010 to August 2022. The results show that the total spillover and net spillover effects vary widely across time. Short-run spillover is more dominant than long-run spillover. In most cases, green finance markets play the role of risk receivers in the system, while renewable energy markets are the main risk transmitters in the short run and the main risk spillover contributors in the long run. Finally, we determine that the hedging effect of green finance assets in the renewable energy market may decrease after the COVID-19 pandemic.

引用

页数：15

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