This study proposes a novel framework to explore the quantile connectedness among fintech, carbon future, and energy markets with implications for hedging and investment strategies. We aim to construct portfolio strategies for extreme market conditions based on the results of quantile connectedness to address the complex price fluctuations in the energy markets. Using the daily data from January 4, 2017, to March 6, 2023, we find that (i) carbon future and crude oil are the net receivers, while fintech and clean energy are the net contributors. However, the net spillover direction of fintech, carbon futures, and energy markets change frequently under extreme market conditions; (ii) the COVID-19 pandemic and Russia-Ukraine conflict significantly enhance connectedness across all quantile levels; (iii) the sample period is dominated by the lower quantile connectedness, indicating that investors react more strongly to bad news. Furthermore, the result of portfolios shows that, compared to normal market conditions, the dynamic investment weights of minimum connectedness (MCOP) exhibit greater volatility under extreme market conditions. This highlights the differences in portfolio adjustments across different market conditions. In addition, the result shows that the minimum connectedness and minimum correlation portfolio have a greater cumulative return than the minimum variance portfolio. The analysis based on the Sharpe ratio shows that in extreme market conditions, carbon futures and fintech can serve as effective hedging tools for the energy markets. Robustness tests further confirmed our conclusions. Our results have positive implications for decision-makers and investors about risk management and diversified portfolio selection.

中文翻译：

---

金融科技、碳未来和能源市场之间的分位数关联性：对对冲和投资策略的影响


这项研究提出了一个新颖的框架来探索金融科技、碳未来和能源市场之间的分位数关联性，并对对冲和投资策略产生影响。我们的目标是根据分位数连通性的结果构建针对极端市场条件的投资组合策略，以应对能源市场复杂的价格波动。使用2017年1月4日至2023年3月6日的每日数据，我们发现(i)碳期货和原油是净接收者，而金融科技和清洁能源是净贡献者。然而，金融科技、碳期货、能源市场的净溢出方向在极端市场条件下频繁变化； (ii) COVID-19 大流行和俄罗斯-乌克兰冲突显着增强了所有分位数水平的连通性； (iii) 样本期以较低分位数连通性为主，表明投资者对坏消息的反应更为强烈。此外，投资组合的结果表明，与正常市场条件相比，最小连通度动态投资权重（MCOP）在极端市场条件下表现出更大的波动性。这凸显了不同市场条件下投资组合调整的差异。此外，结果表明，最小连通性和最小相关性投资组合比最小方差投资组合具有更大的累积收益。基于夏普比率的分析表明，在极端市场条件下，碳期货和金融科技可以作为能源市场的有效对冲工具。稳健性测试进一步证实了我们的结论。我们的研究结果对决策者和投资者的风险管理和多元化投资组合选择具有积极影响。