Quantile connectedness between China’s new energy market and other key financial markets

Abstract

ABSTRACT This study utilizes data from the China Securities Index for the period from September 2017 to September 2022 and employs the quantile VAR model’s connectedness measurement method to examine the static and dynamic quantile connectedness between China’s new energy sector and other financial markets. The research findings reveal a significant correlation between China’s new energy market and other financial markets. During stable market periods, China’s new energy market exhibits strong predictive power over changes in other financial markets and acts as a net transmitter of systemic return shocks. The new energy, aviation, and agriculture sectors have a substantial impact on other financial markets. Extreme shocks significantly influence spillover effects, with total connectedness levels increasing with extreme downward and upward shocks. Furthermore, in the rolling window analysis, the total risk spillover index exhibits pronounced fluctuations during extreme market conditions, indicating that changes in investor sentiment and market expectations lead to greater market volatility and more significant information transmission effects. The new energy industry demonstrates predictable risk transmission characteristics, typically acting as a net transmitter of systemic risk in both normal and extreme market conditions.