Work

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

Year: 2025

Type: article

Abstract: 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.

Source: European Financial Management

DOI: 10.1111/eufm.12560

Authors: Hongjun Zeng, Ramzi Benkraiem, Mohammad Zoynul Abedin, Petr Hajek

Institutions: RMIT University, Audencia Business School, Swansea University, University of Pardubice

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,350

OpenAlex ID: W4410127414

FWCI: 17.97

Cites: 62

Cited by: 19

Related to: 10