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Dynamic connectedness of green bond with financial markets of European countries under OECD economies

Author

Listed:
  • Miklesh Yadav

    (Amity University)

  • Nandita Mishra

    (Linköping University)

  • Shruti Ashok

    (Bennett University)

Abstract

This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price of green bonds and selected European stock markets from January 27, 2015, to August 4, 2021. Top ten European countries namely Luxembourg, Switzerland, Norway, Denmark, Germany, Netherlands, Iceland, Austria, Sweden, and Belgium are included within the OECD economies. The study uses Diebold and Yilmaz and Barunik & Krehlic tests to examine the connectedness between the economies and green bonds in short, medium, and long term. Result exhibits volatility across all frequency cycles. Brussel Stock Exchange and Euronext Amsterdam are identified as high-risk markets in the OECD European market. Evidence emerging from this study advocate the inclusion of green bonds in these financial markets for shorter time periods only. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, suggesting incorporation of green bonds in investor portfolio for efficient diversification of risk.

Suggested Citation

  • Miklesh Yadav & Nandita Mishra & Shruti Ashok, 2023. "Dynamic connectedness of green bond with financial markets of European countries under OECD economies," Economic Change and Restructuring, Springer, vol. 56(1), pages 609-631, February.
    • Handle: RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09430-3
    DOI: 10.1007/s10644-022-09430-3
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    More about this item

    Keywords

    Co-movement; Green bonds; OECD countries; Stock market; COVID-19;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development

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