Risk spillover and network connectedness analysis of China's green bond and financial markets: Evidence from financial events of 2015-2020

被引：105

作者：

Gao, Yang ^{[1
]}

Li, Yangyang ^{[1
]}

Wang, Yaojun ^{[2
]}

机构：

[1] Beijing Univ Technol, Sch Econ & Management, Beijing 100124, Peoples R China

[2] China Agr Univ, Coll Informat & Elect Engn, Beijing 100083, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2021年 / 57卷

基金：

中国国家自然科学基金;

关键词：

Green bond market; DCC-GJRGARCH model; Volatility spillover; Network connectedness; SYSTEMIC RISK; CO-MOVEMENT; VOLATILITY; ENERGY; RETURN;

D O I：

10.1016/j.najef.2021.101386

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigated the dynamic return and volatility spillovers, together with the network connectedness analysis between China's green bond and main financial markets. Based on a multidimensional DCC-GJRGARCH model and the spillover index method, we found significant two-way risk spillovers between the green bond market and traditional bond markets. Moreover, the green bond market was subject to one-way risk spillover from the stock and commodities markets. Meanwhile, risk spillovers between the green bond market, forex market, and monetary market were not significant. Finally, network connectedness analysis provided specific information about connectivity and strength during different subperiods corresponding to financial events. The analysis indicated that under the influence of emergencies, China's financial market will enhance the risk-spillover level by transforming the same type of market's internal spillover into cross-market spillover.

引用

页数：25

共 29 条

[1] Energy, precious metals, and GCC stock markets: Is there any risk spillover? [J].

Al-Yahyaee, Khamis Hamed ;

Mensi, Walid ;

Sensoy, Ahmet ;

Kang, Sang Hoon .

PACIFIC-BASIN FINANCE JOURNAL, 2019, 56 :45-70

[2]

[Anonymous], 2015, FINANCIAL MACROECONO, DOI DOI 10.1093/ACPROF:OSO/9780198747123.003.0008

[3] Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy [J].

Campiglio, Emanuele .

ECOLOGICAL ECONOMICS, 2016, 121 :220-230

[4]

Croce R.D., 2011, OECD WORKING PAPERS

[5] Trans-Atlantic Equity Volatility Connectedness: US and European Financial Institutions, 2004-2014 [J].

Diebold, Francis X. ;

Yilmaz, Kamil .

JOURNAL OF FINANCIAL ECONOMETRICS, 2016, 14 (01) :81-127

[6] On the network topology of variance decompositions: Measuring the connectedness of financial firms [J].

Diebold, Francis X. ;

Yilmaz, Kamil .

JOURNAL OF ECONOMETRICS, 2014, 182 (01) :119-134

[7] Better to give than to receive: Predictive directional measurement of volatility spillovers [J].

Diebold, Francis X. ;

Yilmaz, Kamil .

INTERNATIONAL JOURNAL OF FORECASTING, 2012, 28 (01) :57-66

[8] MEASURING FINANCIAL ASSET RETURN AND VOLATILITY SPILLOVERS, WITH APPLICATION TO GLOBAL EQUITY MARKETS [J].

Diebold, Francis X. ;

Yilmaz, Kamil .

ECONOMIC JOURNAL, 2009, 119 (534) :158-171

[9] Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J].

Engle, R .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) :339-350

[10] The impact of liquidity risk on the yield spread of green bonds [J].

Febi, Wulandari ;

Schafer, Dorothea ;

Stephan, Andreas ;

Sun, Chen .

FINANCE RESEARCH LETTERS, 2018, 27 :53-59

← 1 2 3 →