Dynamic connectedness between ESG and sectoral stock markets in China: evidence from a quantile connectedness approach

This study applies the quantile connectedness approach to evaluate the linkages between ESG and sectoral stock markets in China within a network system. The findings reveal that the system exhibits strong connectedness under the impact of specific events. Under moderate market conditions, ESG300, Financial, Consumer Discretionary, and Materials predominantly act as net transmitters, while Consumer Staples, Energy, Real Estate, Healthcare, and Utilities persist as net recipients. Industrial and Telecom undergo connectedness shifts due to pivotal events. Moreover, under extreme market conditions, markets alternate between net receiving and net transmitting states.