AUTHOR=Deng Jing , Guan Siying , Zheng Huike , Xing Xiaoyun , Liu Cheng TITLE=Dynamic spillovers and asymmetric connectedness between fossil energy and green financial markets: Evidence from China JOURNAL=Frontiers in Energy Research VOLUME=10 YEAR=2022 URL=https://www.frontiersin.org/journals/energy-research/articles/10.3389/fenrg.2022.986341 DOI=10.3389/fenrg.2022.986341 ISSN=2296-598X ABSTRACT=

With the purpose of risk management for fossil energy investors, this paper examines the dynamic spillover effect and asymmetric connectedness between fossil energy, green financial and major traditional financial markets in China. By employing the spillover index model of Diebold and Yilmaz, a weak correlation between green financial and fossil energy markets is verified, and the market connectedness remains relatively calm despite the COVID-19 pandemic outbreak. Specifically, green bonds receives fewer shocks from crude oil than coal, green stocks receive fewer shocks from coal than crude oil. In addition, rather than the safe-haven characteristics presented by gold, this paper further proves that green bonds also have the potential to act as safe-haven assets, due to the fact that the connectedness between green bonds and energy markets is at low levels. Finally, the magnitude of return spillovers between markets would vary significantly during different periods. The results obtained in this paper have practical implications for both investors and policymakers.