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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, Volume: 31, Issue: 5, Pages: 1742 - 1770

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
first_indexed 2025-04-24T09:49:27Z
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spelling 2026-02-02T15:32:56.4429198 v2 69338 2025-04-24 Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2025-04-24 CBAE 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. Journal Article European Financial Management 31 5 1742 1770 Wiley 1354-7798 1468-036X Chinese stock market; macro risk factor; sustainability index; tail risk; wavelet quantile correlation 1 11 2025 2025-11-01 10.1111/eufm.12560 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2026-02-02T15:32:56.4429198 2025-04-24T10:42:12.1138659 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Hongjun Zeng 0000-0002-5437-2710 1 Ramzi Benkraiem 0000-0002-3931-0546 2 Mohammad Abedin 0000-0002-4688-0619 3 Petr Hajek 4 69338__34295__be450846513e40d48ce148731f6ff04b.pdf 69338.VoR.pdf 2025-05-16T13:59:00.7300101 Output 5558046 application/pdf Version of Record true © 2025 The Author(s). This is an open access article under the terms of the Creative Commons Attribution License. true eng http://creativecommons.org/licenses/by/4.0/
title Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
spellingShingle Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
Mohammad Abedin
title_short Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
title_full Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
title_fullStr Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
title_full_unstemmed Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
title_sort Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Hongjun Zeng
Ramzi Benkraiem
Mohammad Abedin
Petr Hajek
format Journal article
container_title European Financial Management
container_volume 31
container_issue 5
container_start_page 1742
publishDate 2025
institution Swansea University
issn 1354-7798
1468-036X
doi_str_mv 10.1111/eufm.12560
publisher Wiley
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2025-11-01T05:28:20Z
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score 11.096047

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