IDEAS home Printed from https://ideas.repec.org/h/pal/psifcp/978-3-031-65756-6_26.html
   My bibliography  Save this book chapter

Do Uncertainty Indicators Affect the Volatility of Green Bonds?

In: The Palgrave Handbook of Green Finance for Sustainable Development

Author

Listed:
  • Kari Hietakangas

    (KPMG)

  • Anupam Dutta

    (University of Vaasa)

Abstract

Growing awareness of climate and environment concerns during the last two decades has induced a positive trend for socially responsible investing. One of these new sustainable investing instruments is the so-called green bond, which represents a fixed-income instrument established to raise money for environmentally friendly projects. This book chapter explores the impact of changes in various uncertainty indices and the realized volatility of the green bond market. The uncertainty indices include the implied stock market volatility index (VIX), the implied oil market volatility index (OVX), the global economic policy uncertainty index (GEPU), the geopolitical risk index (GPR), and the daily infectious disease equity market volatility tracker (EMVID). Green bond price data are presented by the iShares USD Green Bond ETF (BGRN) and the VanEck Green Bond ETF (GRNB). The sample period is 3.12.2018–28.2.2023. Given that most of the uncertainty indices are available at the monthly frequency and the realized volatility of the green bond markets is computed at the daily frequency, the method used in the analysis consists of the mixed-data-sampling (MIDAS) regression. The results indicate a statistically significant positive relationship between changes in oil implied volatility index and the realized volatility of green bonds, whereas the green bond market volatility does not seem to significantly react to changes in uncertainties about macroeconomic conditions, geopolitics, or stock market volatility.

Suggested Citation

  • Kari Hietakangas & Anupam Dutta, 2024. "Do Uncertainty Indicators Affect the Volatility of Green Bonds?," Palgrave Studies in Impact Finance, in: Ahmed Imran Hunjra & John W. Goodell (ed.), The Palgrave Handbook of Green Finance for Sustainable Development, chapter 0, pages 695-722, Palgrave Macmillan.
    • Handle: RePEc:pal:psifcp:978-3-031-65756-6_26
    DOI: 10.1007/978-3-031-65756-6_26
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:psifcp:978-3-031-65756-6_26. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.