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Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

Author

Listed:
  • Shanglei Chai

    (Shandong Normal University)

  • Wenjun Chu

    (China University of Petroleum)

  • Zhen Zhang

    (Dalian University of Technology)

  • Zhilong Li

    (Shandong Normal University)

  • Mohammad Zoynul Abedin

    (Teesside University
    Hajee Mohammad Danesh Science and Technology University)

Abstract

This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets. By building a time-varying parameter vector autoregression model (TVP-VAR), the comparison analyses of pre- and during the COVID-19 sample groups verify the existence of nonlinear and dynamic correlation among the three variables. First, prior to the COVID-19 pandemic, the simultaneous impacts of clean energy on stock price increased over time. Second, the results of impulse responses at different horizons indicate that green bonds lead to a short-term increase of clean energy, and it exerts an increasingly positive impacts after the COVID-19 outbreak. The COVID-19 has weakened the negative impacts of green bonds on stock price in the medium term. Finally, through the analysis of impulse responses at different points, we find that stock prices will rise when clean energy is subjected to a positive shock, and this positive effect is stronger during economic recovery period than in the other two periods.

Suggested Citation

  • Shanglei Chai & Wenjun Chu & Zhen Zhang & Zhilong Li & Mohammad Zoynul Abedin, 2025. "Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic," Annals of Operations Research, Springer, vol. 345(2), pages 1137-1164, February.
    • Handle: RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-021-04452-y
    DOI: 10.1007/s10479-021-04452-y
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