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Nexus between green bonds, financial and environmental indicators

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  • Ngo Thai Hung

Abstract

This study uses a novel perspective to examine the causal connectedness between green bonds and other conventional assets, including clean energy, price of CO2 emission allowances, Bitcoin, and the S & P 500 stock market covering from January 2013 to March 2019. We apply the Multilayer Perceptron Neural Network Non-linear Granger causality and Transfer Entropy to detect possible changes in the causal direction between green bonds and other considered variables. We find a bidirectional relationship between green bonds, S & P 500, and Bitcoin markets, while green bonds have a unidirectional connection with the price of CO2 emission allowances.

Suggested Citation

  • Ngo Thai Hung, 2021. "Nexus between green bonds, financial and environmental indicators," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 191-199.
    • Handle: RePEc:ove:journl:aid:15853
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    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/15853
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    References listed on IDEAS

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    1. Urom, Christian, 2023. "Time–frequency dependence and connectedness between financial technology and green assets," International Economics, Elsevier, vol. 175(C), pages 139-157.
    2. Flavin, Thomas & Sheenan, Lisa, 2023. "Can Green Bonds be a Safe Haven for Equity Investors?," QBS Working Paper Series 2023/06, Queen's University Belfast, Queen's Business School.
    3. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.

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