Asymmetric Multifractal Risks in Green Finance Markets

This study investigates asymmetric multifractal characteristics and nonlinear risk dynamics of different China’s green finance markets. By asymmetric multifractal detrended fluctuation analysis, this paper examines scaling behaviors and informational efficiency across varying time scales. The empirical results confirm significant long-range dependence in all examined indices, exhibiting highly asymmetric multifractality. Further analysis of asymmetric singularity spectrum uncovers distinct risk structures among green indices. An analysis of time-varying feature of multifractality, long-range memory, and market inefficiency reveals distinct scaling asymmetries, which manifest as locally stable multifractality and pronounced regime-switching driven by policies, crises, and market mechanism. By revealing the dynamics, this research provides critical insights for investors and policymakers in developing robust green hedging strategies.