Author(s)

Ying Huang^1*, ZheZhen Wang², QiHang Wang²

Affiliation(s)

¹School of Foreign Languages, Wuhan City Polytechnic, Wuhan 430064, Hubei, China.

²School of Economics and Management, Wuchang Shouyi University, Wuhan 430064, Hubei, China.

Corresponding Author

Ying Huang

ABSTRACT

In the context of the global climate crisis and China’s dual-carbon target, a Time-Varying Parameter Vector Autoregression-Diebold-Yilmaz (TVP-VAR-DY) model is employed to examine risk spillovers between Hubei carbon and green financial market from January 5th, 2016 to January 6th, 2025. According to the findings, Hubei’s carbon-green finance system exhibits moderate and time-varying volatility spillover. Green equities predominantly function as information transmitters, whereas green bonds act as receivers, showing risk concentration within the green stock-bond nexus rather than carbon-finance linkages. Then, exogenous shocks such as trade conflict, the COVID-19 pandemic and carbon policy adjustments amplify cross-market spillover intensity. These findings elucidate risk transmission mechanisms in climate-aligned markets, provide investors with portfolio rebalancing insights and enhance regulators’ systemic risk monitoring capabilities.

KEYWORDS

Hubei carbon market; Green bond market; Green stock market; Volatility spillover effects; TVP-VAR-DY model

CITE THIS PAPER

Ying Huang, ZheZhen Wang, QiHang Wang. Volatility spillover between Hubei carbon market and green financial market: evidence from TVP-VAR-DY model. World Journal of Management Science. 2025, 3(3): 12-18. DOI: https://doi.org/10.61784/wms3073.

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