Identifying Risk Transmission in Carbon Market With Energy, Commodity and Financial Markets: Evidence From Time-Frequency and Extreme Risk Spillovers

The carbon market is a vital tool to achieve neutrality. This paper uses daily closing price data of Shenzhen trading market, energy, commodity and financial markets from 18 October 2018 19 August 2021, examining the transmission risk/information perspective volatility spillover tail risk based on quantile spillover. stock crash COVID-19 have increased system substantially. Next, increase in frequency accompanied by an total connectivity, transforms into recipient systemic shocks. Finally, results reveal that net effect reception increases significantly. These findings implications for policymakers improve provide important insights investors trade turbulent periods.