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Market volatilities vs oil shocks: Which dominate the relative performance of green bonds?

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  • Wei, Yu
  • Shi, Chunpei
  • Zhou, Chunyan
  • Wang, Qian
  • Liu, Yuntong
  • Wang, Yizhi

Abstract

The market performance of green bonds determines whether they will make a significant contribution to future financial markets and sustainable investment. It is therefore important to conduct a thorough study of the dominant factors affecting the market performance of green bonds, particularly their performance relative to conventional bonds. Thus, the main objective of this paper is to investigate and compare the impact of market volatilities (mainly VIX, OVX, and MOVE) and oil shocks (including supply shock, demand shock, and speculative demand shock) on the relative performance of green bonds. The main findings indicate that when volatilities coincide with oil shocks, the former consistently exert a more pronounced influence on the relative performance of green bonds. This phenomenon is particularly evident in the post-COVID-19 period. Concerning crude oil shocks, oil supply and demand shocks have opposite effects on the relative performance of green bonds, with the supply shock having a negative impact and the demand shock having a positive impact. Furthermore, our analysis shows that volatilities and oil shocks tend to have significant effects on the relative performance of green bonds during periods of heightened market risk aversion, while their impact remains negligible in a stable market environment. The empirical results may provide novel insights and significant implications for the further development of the green bond market.

Suggested Citation

  • Wei, Yu & Shi, Chunpei & Zhou, Chunyan & Wang, Qian & Liu, Yuntong & Wang, Yizhi, 2024. "Market volatilities vs oil shocks: Which dominate the relative performance of green bonds?," Energy Economics, Elsevier, vol. 136(C).
    • Handle: RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004171
    DOI: 10.1016/j.eneco.2024.107709
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    More about this item

    Keywords

    Green bond; Relative performance; Uncertainty; Market volatilities; Crude oil shocks;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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