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Extreme directional spillovers between investor attention and green bond markets

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  • Pham, Linh
  • Cepni, Oguzhan

Abstract

This paper studies how the spillovers between investor attention and green bond performance vary across normal and extreme market conditions. Using the quantile connectedness model, we document a substantial increase in the spillovers between green bond returns and investor attention at the lower and upper tail of the distributions. These spillovers are time-varying, asymmetric, and significantly influenced by stock, oil, bond market volatility, and economic policy uncertainty. Moreover, using the time-varying robust Granger causality test, we find that the Granger-causality relationship between the attention indices and the green bond returns seems to be more pronounced after the onset of the COVID-19 pandemic.

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  • Pham, Linh & Cepni, Oguzhan, 2022. "Extreme directional spillovers between investor attention and green bond markets," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 186-210.
    • Handle: RePEc:eee:reveco:v:80:y:2022:i:c:p:186-210
    DOI: 10.1016/j.iref.2022.02.069
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    14. Yixuan Chen & Shanyue Jin, 2023. "Corporate Social Responsibility and Green Technology Innovation: The Moderating Role of Stakeholders," Sustainability, MDPI, vol. 15(10), pages 1-20, May.
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    More about this item

    Keywords

    Causality; Green bond; Investor attention; Quantile connectedness;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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