Our purpose is to check the dynamic asymmetric volatility connectedness among the Green Finance Index and six large US technology stocks. The QVAR connectedness framework, the quantile Granger causality test, the TVP-VAR frequency connectedness framework, and the quantile-on-quantile regression (QQR) function were employed to measure the cross-frequency and quantile risk dependencies among these indices. The findings show that: (1) the volatility connectedness effect is higher at extreme tails. In addition, the dynamic spillover between the Green financial index and large US technology stocks is strengthened during bullish market conditions. (2). Net risk spillover characteristics across markets show cyclicality and heterogeneity. The S&P 500 ESG index and Microsoft are the dominant sources of risk. In contrast, the S&P Green Bond Index and Apple act as net recipients of spillovers. (3). Connectedness networks across quartiles exhibit asymmetric behavior. (4). When considering all quartiles, there was a significant Granger causality between the Green Finance Index and major US technology firms. (5). The results of frequency spillovers indicate that long-term frequency spillovers predominate over short-term frequency spillover. The S&P 500 ESG Index contributed risk across frequencies, while green bonds acted as a receiver of risk across frequencies. (6) Utilising the multivariate QQR method, we find the impact of the green finance index on US technology stocks risk exhibited significant non-linear and asymmetric characteristics, demonstrating pronounced cross-quantile heterogeneity. Our empirical findings held practical significance for heterogeneous market participants concerned with the risks associated with green finance and high-tech assets across different investment horizons and market conditions.

中文翻译：

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绿色金融指数和美国大型科技股的尾部风险传染和多尺度溢出效应


我们的目的是检查绿色金融指数与美国六只大型科技股之间的动态不对称波动率关联性。采用 QVAR 连通性框架、分位数 Granger 因果关系检验、TVP-VAR 频率连通性框架和分位数上分位数回归 （QQR） 函数来衡量这些指数之间的交叉频率和分位数风险依赖性。研究结果表明：（1） 极端尾部的波动性关联效应更高。此外，在牛市期间，绿色金融指数与美国大型科技股之间的动态溢出效应得到加强。（2）. 各市场的净风险溢出特征显示出周期性和异质性。标准普尔 500 ESG 指数和 Microsoft 是主要的风险来源。相比之下，标准普尔绿色债券指数和苹果是溢出效应的净接收者。（3）. 跨四分位数的连通性网络表现出不对称行为。（4）. 在考虑所有四分位数时，绿色金融指数与美国主要科技公司之间存在显著的格兰杰因果关系。（5）. 频率溢出的结果表明，长期频率溢出比短期频率溢出占主导地位。标准普尔 500 ESG 指数 （S&P 500 ESG Index） 在不同频率上贡献了风险，而绿色债券则充当了不同频率的风险接收者。（6） 利用多元 QQR 方法，我们发现绿色金融指数对美国科技股风险的影响表现出显着的非线性和不对称特征，表现出明显的交叉分位数异质性。 我们的实证研究结果对于在不同投资范围和市场条件下关注绿色金融和高科技资产相关风险的异质市场参与者具有实际意义。