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Impact of green bonds on traditional equity markets

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  • Bouteska, Ahmed
  • Bhuiyan, Faruk
  • Sharif, Taimur
  • Miftah, Badir
  • Abedin, Mohammad Zoynul

Abstract

This study examines the broader U.S. green bond market, with focus on its association with the U.S traditional equity market from 2016–2021. For this purpose, we use the S&P Green Bond Index, the S&P U.S. Aggregate Bond Index, and the S&P 500 to build the connection between the markets based on both univariate generalized autoregressive conditional heteroskedasticity (GARCH) and multivariate vector autoregression (VAR) models. Our empirical results show that the patterns of returns and the volatility behavior of green bonds included significant changes over the years of study. The findings highlight the importance of the emergence and evolution of the promising green bonds market, thus providing useful policy implications for portfolio and risk management as well as asset pricing. This study contributes to a deeper understanding of the impact of green bonds on equity markets.

Suggested Citation

  • Bouteska, Ahmed & Bhuiyan, Faruk & Sharif, Taimur & Miftah, Badir & Abedin, Mohammad Zoynul, 2025. "Impact of green bonds on traditional equity markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
    • Handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003994
    DOI: 10.1016/j.ribaf.2024.102606
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    More about this item

    Keywords

    Green finance; Green bonds; Green financial investments; Equity markets; GARCH model; VAR model;
    All these keywords.

    JEL classification:

    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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