Carbon reduction attention and financial market stress: A network spillover analysis based on quantile VAR modeling

Abstract

As climate change intensifies, attention to the issue of carbon emission reduction has gradually increased. This research constructs a complete set of indicators of carbon reduction attention and financial market stress and applies the quantile VAR method to calculate the volatility spillover between carbon reduction attention and financial market stress. We conclude with the following. Firstly, a relatively close volatility spillover association exists between carbon reduction attention and financial market stress. In the research system, carbon reduction attention mainly assumes the role of information receiver. Additionally, when examining the spillover status in different quantiles, the total spillover level shows an irregular "bowl" structure, while the net spillover level of each variable has different shapes. Secondly, the dynamic spillover level in the extreme quantile condition maintains a connectivity range of 60–80%, significantly higher than that of the median condition. Finally, this study finds two sets of significant complementary spillovers within the system, namely, "carbon reduction attention - crude oil market stress" and "stock market stress - real estate market stress", which provide investors with an opportunity to explore the potential of the carbon reduction attention and real estate market stress in the future.