Quantile connectedness among fintech, carbon future, and energy markets: Implications for hedging and investment strategies

Su, Xianfang; He, Jian

doi:10.1016/j.eneco.2024.107904

Energy Economics

2024

DOI: 10.1016/j.eneco.2024.107904

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Quantile connectedness among fintech, carbon future, and energy markets: Implications for hedging and investment strategies

Xianfang Su,

Jian He

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Cited by 2 publications

References 61 publications

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Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Shu,

Wang,

Chen

et al. 2024

Comput Econ

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Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Shu,

Wang,

Chen

et al. 2024

Comput Econ

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Higher-order moments spillovers among energy, carbon and tourism markets: Time- and frequency-domain evidence

Gao,

Yang

2024

PLoS ONE

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This paper uses the GJRSK model to estimate the high-order moments of energy (oil, natural gas, and coal), the carbon market, and tourism stocks. Then, it utilizes a novel TVP-VAR time-frequency connectedness approach to examine higher-order moments spillovers among them. The results show a strong connectedness among the three markets. The energy market is the emitter of volatility, skewness and kurtosis spillovers; tourism stock is the receiver; and the carbon market is the transmitter. From a time-domain perspective, the higher-order moments spillovers of the three markets are time-varying, especially during extreme periods, where the energy market’s spillover effects on tourism stocks are significantly enhanced, indicating that tourism stocks bear a greater risk at leptokurtosis and fat-tail moment. From a frequency-domain perspective, the long-term asymmetric spillovers of oil, natural gas, and tourism markets on the carbon market are more pronounced than the short-term. Moreover, the COVID-19 pandemic exacerbated the higher-moment spillovers of energy and tourism stocks on the carbon market. Meanwhile, the Russia-Ukraine conflict led to extreme risk transmission within the energy market. These findings have significant implications for cross-industry investors and green finance risk management.

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Quantile connectedness among fintech, carbon future, and energy markets: Implications for hedging and investment strategies

Cited by 2 publications

References 61 publications

Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Higher-order moments spillovers among energy, carbon and tourism markets: Time- and frequency-domain evidence

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