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<p>This paper investigates the time-varying and asymmetric connectedness between biodiversity (BIO)-related and six major European stock markets—DAX, CAC, FTSE, MIB, IBEX, and BEL using the quantile-on-quantile (QQ) connectedness framework proposed by Gabauer and Stenfors (Financ. Res. Lett. 60:104852, 2024) over the period from 21 June 2019 to 12 September 2025. The results point out that connectedness between BIO and European equities is both state-dependent and asymmetric, with BIO consistently acting as a net transmitter of shocks. Spillovers are strong during extreme market conditions, particularly when biodiversity returns are low and equity markets are bullish while mid-quantile interplays reveal limited co-movement, highlighting potential diversification benefits under normal conditions. Additionally, DAX, CAC, and MIB suggest the strongest transmission effects, while BEL indicates the weakest. The results have important implications for investors, highlighting the need to integrate biodiversity risk into portfolio management, and for policymakers, emphasizing the importance of incorporating biodiversity considerations into sustainable finance frameworks and systemic risk assessments within the European context.</p>

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Quantile-on-quantile connectedness between biodiversity and European stock markets

  • 期刊论文

  • 发表日期：

    2026年1月29日

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  • Ngo Thai Hung

摘要

This paper investigates the time-varying and asymmetric connectedness between biodiversity (BIO)-related and six major European stock markets—DAX, CAC, FTSE, MIB, IBEX, and BEL using the quantile-on-quantile (QQ) connectedness framework proposed by Gabauer and Stenfors (Financ. Res. Lett. 60:104852, 2024) over the period from 21 June 2019 to 12 September 2025. The results point out that connectedness between BIO and European equities is both state-dependent and asymmetric, with BIO consistently acting as a net transmitter of shocks. Spillovers are strong during extreme market conditions, particularly when biodiversity returns are low and equity markets are bullish while mid-quantile interplays reveal limited co-movement, highlighting potential diversification benefits under normal conditions. Additionally, DAX, CAC, and MIB suggest the strongest transmission effects, while BEL indicates the weakest. The results have important implications for investors, highlighting the need to integrate biodiversity risk into portfolio management, and for policymakers, emphasizing the importance of incorporating biodiversity considerations into sustainable finance frameworks and systemic risk assessments within the European context.