Quantile VAR network evidence for spillover effects and connectivity between China's stock markets, green commodities, and Bitcoin

【Author】 Li, Jiahui; Liang, Haoshen; Ni, Likun

【Source】ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH

【影响因子】5.190

【Abstract】Numerous economic and financial crises, particularly the present crisis in the healthcare sector, have pushed major shock spillover channels over stock marketplaces. This research studied how the shock spillover system is affected by three significant factors: Bitcoins, unpredictability, and the China stock market between 2014 and 2021. While much earlier empirical research has looked at risk dispersion in different financial markets, this article will zero in on green markets. This investigation seeks to accomplish something that has never been done before: determine whether or not green commodities, Bitcoin, and uncertainty impact the performance of the China stock market. The following are significant results based on a quantile vector autoregressive (VAR) connection. (i) A static spillover system indicates that information was widely shared across markets during intense market circumstances. (ii) The global green economy and clean energy marketplaces are the primary sources of knowledge spillover in adverse market conditions. This research elucidates the asymmetrical influence of green products, Bitcoin, and market volatility in China. This is vital due to the dynamic nature of international and regional connections. Recent studies have shown that shock spillovers are excellent for cryptocurrencies such as Bitcoin (BTC), uncertainty indices, and global carbon indexes, but bad for most eco-friendly products.

【Keywords】Quantile VAR network; Spillover effects; China; Stock markets; Green commodities; Bitcoin

【发表时间】2023 2023 JUN 16

【收录时间】2023-07-30

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析