Shaozhou Qi , Lidong Pang , Tianbai Qi , Xiaoling Zhang , Marilen Gabriel Pirtea ，

Technological Forecasting & Social Change，Accepted 23 March 2024

The environmental crisis induced by global warming has generated an increasingly heightened recognition of the imperative to embark on a journey toward sustainability. In this paper, we focus on the price correlations between two potential emission mitigation instruments: green bond (GB) and the carbon trading market. The CrossQuantilogram (CQ) method is employed to identify these relationships within Chinese markets spanning from July 16, 2021, to March 31, 2023. Our ffndings reveal a diverse array of dependence structures, which are most pronounced at the ffrst lag and tend to diminish with subsequent lags. Further analysis through the Partial CrossQuantilogram (PCQ) approach reveals that the dependence structure is reshaped by both micro-market volatility and climate policy uncertainty, but the latter exerts inffuence at more extended lags. Likewise, these correlations are subject to temporal shifts, with coefffcients displaying heightened magnitude and increased volatility in extreme scenarios compared to normal states. Therefore, investors and industries seeking to participate in the carbon trading market should closely monitor the performance of green bonds, particularly during tumultuous periods.