Sustainable development spillover effects among selected Asian countries: Analysis of integrated sustainability perspective

Liang, Yao; Jin, Xu; Taghvaee, Vahid

doi:10.1016/j.seps.2023.101781

Cited by 7 publications

(1 citation statement)

References 49 publications

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“…The spillover effect among these diverse markets has become intertwined to an unprecedented extent due to escalated systemic risk. Mohamad Taghvaee et al (2022) and Liang et al (2024) present a new perspective on integrated sustainability by incorporating the sustainability of spillover effects into the traditional pillars of social, environmental, and economic aspects. Specifically, the academic community is increasingly focusing on the differences between traditional and sustainable assets from a financial aspect, as discussed by Duan et al (2023) Extensive research related to risk spillovers concerning carbon markets has been undertaken with a notable focus on energy markets (Xu, 2021;Tiwari et al, 2022;Hwang et al, 2023) and metals (Chen et al, 2022b;Zhou et al, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

Sustainability and Stability: Asymmetric Time–Frequency Connectedness and Risk Spillovers Among EU–China ETSs, Clean Energy, Precious Metals, and Green Bonds

Yu,

Chen,

2024

Preprint

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Emission trading schemes (ETSs) have become vital tools in striving toward global emission reduction objectives and promoting a sustainable economy. This paper empirically investigates the impact of market conditions on interconnectedness within precious metals, clean energy, green bonds, and carbon markets, focusing on China and the EU ETSs as the study subjects. A TVP-VAR-based asymmetric connectedness approach is adopted to capture the evolving relationships between the variables of interest in the time–frequency domain. The empirical findings reveal that: First, time-varying asymmetric connectedness and spillover effects among clean energy, precious metals, green bonds, and carbon markets are identified in both time and frequency domains under diverse market conditions, with long-term connectedness asymmetry being particularly sensitive, although spillovers exhibit variations. Second, the role and intensity of net transmitters or receivers vary across market conditions and frequency domains, indicating the complex and nuanced nature of market interactions. The EU ETS demonstrates a higher level of connectivity with global markets for clean energy, precious metals, and green bonds when compared to the Chinese ETS. However, it also shows greater susceptibility to fluctuations in market conditions. These results have significant implications for both investors striving to build sustainable diversified portfolios and regulators endeavoring to craft effective policies for risk regulation and sustainable development.

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