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Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market

Hongjun Zeng Orcid Logo, Ramzi Benkraiem Orcid Logo, Mohammad Abedin Orcid Logo, Petr Hajek

European Financial Management

Swansea University Author: Mohammad Abedin Orcid Logo

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DOI (Published version): 10.1111/eufm.12560

Abstract

This paper investigates the dynamic transition of the Chinese stock market towards a just and sustainable future by examining the tail risk connectedness and frequency-quantile dependence between a series of sustainability indices and Chinese stock market sectors. Employing the novel TVP-VAR-CAViaR...

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Published in: European Financial Management
ISSN: 1354-7798 1468-036X
Published: Wiley 2025
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URI: https://cronfa.swan.ac.uk/Record/cronfa69338
Abstract: This paper investigates the dynamic transition of the Chinese stock market towards a just and sustainable future by examining the tail risk connectedness and frequency-quantile dependence between a series of sustainability indices and Chinese stock market sectors. Employing the novel TVP-VAR-CAViaR connectedness method and the wavelet quantile correlation (WQC) method, we capture the evolving relationship between sustainability factors and market performance. Considering the significant, far-reaching, and lasting effects of such uncertainties on the financial markets, our analysis provides essential guidance for investors and policymakers alike in navigating decisions and crafting regulations.
Keywords: Chinese stock market; macro risk factor; sustainability index; tail risk; wavelet quantile correlation
College: Faculty of Humanities and Social Sciences
Funders: Swansea University

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