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Do the green bonds overreact to the COVID-19 pandemic?

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  • Cui, Tianxiang
  • Suleman, Muhammad Tahir
  • Zhang, Hongwei

Abstract

This paper explores the impacts of the COVID-19 pandemic on the global green bond and conventional assets, including commodity, treasury, stock and clean energy markets, using Diebold and Yilmaz (2012) and Baruník and Křehlík, 2018b spillover framework. The results show that spillover transmitted from COVID-19 is relatively strong over a medium- and long-term horizon, and the spillover effects sharply increased when the pandemic became severe. Furthermore, green bonds are most affected by the COVID-19 pandemic, followed by the treasury, while the other conventional assets are only slightly affected. Additionally, our findings also contain a low-risk portfolio during COVID-19 pandemic.

Suggested Citation

  • Cui, Tianxiang & Suleman, Muhammad Tahir & Zhang, Hongwei, 2022. "Do the green bonds overreact to the COVID-19 pandemic?," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003208
    DOI: 10.1016/j.frl.2022.103095
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    Cited by:

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    3. Danilo Liberati & Giuseppe Marinelli, 2024. "Was Covid-19 a wake-up call on climate risks? Evidence from the greenium," Questioni di Economia e Finanza (Occasional Papers) 832, Bank of Italy, Economic Research and International Relations Area.
    4. Perote, Javier & Vicente-Lorente, José D. & Zuñiga-Vicente, Jose Angel, 2023. "How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 53(C).
    5. Apergis, Nicholas, 2023. "The connectedness between green and conventional bond yields during the COVID-19 crisis: The role of the vaccination process," Economics Letters, Elsevier, vol. 224(C).
    6. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).
    7. Duan, Xiaoping & Xiao, Ya & Ren, Xiaohang & Taghizadeh-Hesary, Farhad & Duan, Kun, 2023. "Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development," Resources Policy, Elsevier, vol. 82(C).

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