The Chinese financial system and its relationship with international financial markets
- Autores: Hui Yang
- Directores de la Tesis: Román Ferrer Lapeña (dir. tes.)
- Lectura: En la Universitat de València ( España ) en 2025
- Idioma: inglés
- Tribunal Calificador de la Tesis: Eliseo Navarro Arribas (presid.), Laura Ballester (secret.), Francisco Jareño Cebrián (voc.)
- Programa de doctorado: Programa de Doctorado en Finanzas y Economía Cuantitativas/Quantitative Finance and Economics por la Universidad Complutense de Madrid; la Universidad de Castilla-La Mancha; la Universidad del País Vasco/Euskal Herriko Unibertsitatea y la Universitat de València (Estudi General)
- Materias:
- Enlaces
- Resumen
The global shift toward sustainability has generated unprecedented attention to the evolving dynamics of green financial assets and their interactions with conventional markets. China, as the world’s largest energy consumer and carbon emitter, emerges as a central actor in this transition, with its ambitious “30-60” climate targets serving as both a transformative industrial strategy and a catalyst for rapid clean energy sector expansion. Despite the remarkable growth of China’s equity market and the increasing prominence of green investments, critical gaps remain in understanding the emergence of speculative episodes in Chinese stock prices, the interconnections between Chinese green and conventional assets, and the primary forces driving clean energy stock price dynamics.
This doctoral thesis addresses these gaps through three interrelated empirical studies, each employing state-of-the-art quantitative methodologies. The first study utilizes advanced bubble detection techniques to analyze the presence of episodes of price explosiveness in the Chinese stock market from a sectoral perspective. The empirical analysis uncovers periods of explosive dynamics in all Chinese sectors, underscoring the Chinese equity market’s high propensity to speculative bubbles. Notably, the frequency and duration of these episodes vary across sectors, with the most significant periods of explosive behavior coinciding with the well-documented 2007 and 2015 Chinese market bubbles. Furthermore, the pronounced co-movement of explosive episodes across sectors points to strong contagion effects of explosiveness throughout the Chinese equity market, which could ultimately affect the broader real economy. The second study applies a quantile connectedness framework to examine the transmission of shocks between green financial instruments, represented by green bonds and various classes of clean energy equities, and traditional financial and commodity markets in China. The results indicate significant connectedness between green and conventional markets, with return spillovers intensifying at both tails of the distribution. Clean energy equity sub-sectors act as the main net transmitters of shocks across China’s financial ecosystem, reflecting their rapid growth and deepening integration with the broader financial system. Conversely, gold, crude oil, and Chinese green bonds are identified as the primary net receivers of return spillovers. Additionally, the connectedness among Chinese markets demonstrates remarkable resilience to major global disruptions, such as the COVID-19 pandemic and the Russia-Ukraine conflict. The third study investigates the principal macro-financial determinants of Chinese clean energy stock price fluctuations at both the aggregate sector level and across main sub-sectors, with a special focus on potential asymmetric effects over the short- and long-run. Employing a two-step econometric approach, which combines the Elastic Net (ENET) regularization technique and the Nonlinear Autoregressive Distributed Lag (NARDL) model, the analysis shows that clean energy stock prices are predominantly driven by a small group of variables. In particular, coal prices, the Chinese FinTech sector, domestic financial stress, international clean energy equity trends, and the general Chinese stock market appear as the most robust determinants of fluctuations in Chinese clean energy stock prices. Importantly, the effect of most of these key determinants are characterized by pronounced asymmetries both in the short- and long-run, reflecting the fundamentally nonlinear dynamics of the Chinese clean energy sector.
