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<p>Systemic risk in sustainable finance increasingly arises from the interaction between governance, innovation, and clean energy assets, yet the contagion channels linking these markets remain poorly understood. Existing research on sustainable finance overlooks whether environmental governance equities in China act as systemic risk transmitters to global alternative energy markets, particularly under extreme states. This study applies a factor-purged quantile VAR to daily data (2015–2024) covering six Chinese environmental governance equity indices, green innovations (GP-R&amp;D), and the S&amp;P Global Clean Energy Index (S&amp;P-GCEI), capturing spillovers across τ = 0.10, 0.50, and 0.90. Overall connectedness is higher in the tails than at the median, with the lower versus upper-tail dominance varying over time. The findings confirmed that governance transmission is state-dependent: in the left tail, governance subsectors, particularly ATM-G (atmospheric governance) and SWT (solid waste treatment), drive shocks, while at the median, ENV-G (environmental governance) dominates; in the upper tail, W&amp;WT (water and water treatment) also transmuted to net transmitter. These shocks also cascade into green innovations (GP-R&amp;D) and global alternative energy markets (S&amp;P-GCEI), validating the governance-driven shock propagation to the policy-innovation-energy nexus. In contrast, global alternative energy markets (S&amp;P-GCEI) fail to provide consistent safe-haven benefits, implying that their diversification potential collapses precisely in lower–upper tails. The findings reinforce the importance of tail-aware portfolio design and stress testing. The study also establishes Chinese environmental governance as a systemic driver of clean energy risk and extends quantile connectedness analysis to the policy–innovation–energy nexus with implications for global sustainability policy.</p>

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Quantile connectedness analysis of tail risk spillovers between Chinese environmental governance and global alternative energy markets

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年7月6日

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  • Ke Peng,
  • Muhammad Munir,
  • Yubin Li,
  • Mariem Mejri

摘要

Systemic risk in sustainable finance increasingly arises from the interaction between governance, innovation, and clean energy assets, yet the contagion channels linking these markets remain poorly understood. Existing research on sustainable finance overlooks whether environmental governance equities in China act as systemic risk transmitters to global alternative energy markets, particularly under extreme states. This study applies a factor-purged quantile VAR to daily data (2015–2024) covering six Chinese environmental governance equity indices, green innovations (GP-R&D), and the S&P Global Clean Energy Index (S&P-GCEI), capturing spillovers across τ = 0.10, 0.50, and 0.90. Overall connectedness is higher in the tails than at the median, with the lower versus upper-tail dominance varying over time. The findings confirmed that governance transmission is state-dependent: in the left tail, governance subsectors, particularly ATM-G (atmospheric governance) and SWT (solid waste treatment), drive shocks, while at the median, ENV-G (environmental governance) dominates; in the upper tail, W&WT (water and water treatment) also transmuted to net transmitter. These shocks also cascade into green innovations (GP-R&D) and global alternative energy markets (S&P-GCEI), validating the governance-driven shock propagation to the policy-innovation-energy nexus. In contrast, global alternative energy markets (S&P-GCEI) fail to provide consistent safe-haven benefits, implying that their diversification potential collapses precisely in lower–upper tails. The findings reinforce the importance of tail-aware portfolio design and stress testing. The study also establishes Chinese environmental governance as a systemic driver of clean energy risk and extends quantile connectedness analysis to the policy–innovation–energy nexus with implications for global sustainability policy.