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Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic

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Cited by:

  1. Guglielmo Maria Caporale & Nicola Spagnolo, 2024. "US municipal green bonds and financial integration," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 8, pages 192-205, Edward Elgar Publishing.
  2. Pham, Son D. & Nguyen, Thao T.T. & Do, Hung X., 2024. "Impact of climate policy uncertainty on return spillover among green assets and portfolio implications," Energy Economics, Elsevier, vol. 134(C).
  3. Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
  4. Md. Bokhtiar Hasan & Gazi Salah Uddin & Md. Sumon Ali & Md. Mamunur Rashid & Donghyun Park & Sang Hoon Kang, 2024. "Examining time–frequency quantile dependence between green bond and green equity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
  5. Wei, Ping & Qi, Yinshu & Ren, Xiaohang & Gozgor, Giray, 2023. "The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches," Energy Economics, Elsevier, vol. 121(C).
  6. Liu, Chen & Shao, Zhen & Jiao, Jianling & Yang, Shanlin, 2024. "How connected is withholding capacity to electricity, fossil fuel and carbon markets? Perspectives from a high renewable energy consumption economy," Energy Policy, Elsevier, vol. 185(C).
  7. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
  8. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
  9. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
  10. Jiasheng Yu & Maojun Zhang & Ruoyu Liu & Guodong Wang, 2023. "Dynamic Effects of Climate Policy Uncertainty on Green Bond Volatility: An Empirical Investigation Based on TVP-VAR Models," Sustainability, MDPI, vol. 15(2), pages 1-17, January.
  11. Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  12. Man, Yuanyuan & Zhang, Sunpei & Liu, Jianing, 2023. "Dynamic connectedness, asymmetric risk spillovers, and hedging performance of China's green bonds," Finance Research Letters, Elsevier, vol. 56(C).
  13. Qi, Xiaohong & Zhang, Guofu, 2022. "Dynamic connectedness of China’s green bonds and asset classes," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  14. Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 86(C).
  15. Bouteska, Ahmed & Ha, Le Thanh & Bhuiyan, Faruk & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Contagion between investor sentiment and green bonds in China during the global uncertainties," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 469-484.
  16. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Doğan, Buhari & Ghosh, Sudeshna, 2023. "Sustainable debt and gas markets: A new look using the time-varying wavelet-windowed cross-correlation approach," Energy Economics, Elsevier, vol. 120(C).
  17. Zhao, Mingguo & Park, Hail, 2024. "Quantile time-frequency spillovers among green bonds, cryptocurrencies, and conventional financial markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
  18. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research," Sustainability, MDPI, vol. 15(20), pages 1-32, October.
  19. Bożena Gajdzik & Radosław Wolniak & Wieslaw Wes Grebski, 2022. "An Econometric Model of the Operation of the Steel Industry in POLAND in the Context of Process Heat and Energy Consumption," Energies, MDPI, vol. 15(21), pages 1-26, October.
  20. Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022. "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
  21. Ren, Boru & Lucey, Brian & Luo, Qirui, 2023. "An examination of green bonds as a hedge and safe haven for international equity markets," Global Finance Journal, Elsevier, vol. 58(C).
  22. Jing Deng & Jingxuan Lu & Yujie Zheng & Xiaoyun Xing & Cheng Liu & Tao Qin, 2022. "The Impact of the COVID-19 Pandemic on the Connectedness between Green Industries and Financial Markets in China: Evidence from Time-Frequency Domain with Portfolio Implications," Sustainability, MDPI, vol. 14(20), pages 1-24, October.
  23. Long, Shaobo & Tian, Hao & Li, Zixuan, 2022. "Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework," International Review of Financial Analysis, Elsevier, vol. 84(C).
  24. Bouri, Elie & Gök, Remzi & Gemi̇ci̇, Eray & Kara, Erkan, 2024. "Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 137-154.
  25. Hu, Yang & Lang, Chunlin & Corbet, Shaen & Wang, Junchuan, 2024. "The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector," Research in International Business and Finance, Elsevier, vol. 68(C).
  26. Liu, Rongyan & He, Lingyun & Xia, Yufei & Fu, Yating & Chen, Ling, 2023. "Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  27. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
  28. Kocaarslan, Baris & Mushtaq, Rizwan, 2024. "The impact of liquidity conditions on the time-varying link between U.S. municipal green bonds and major risky markets during the COVID-19 crisis: A machine learning approach," Energy Policy, Elsevier, vol. 184(C).
  29. Umar, Zaghum & Hadhri, Sinda & Abakah, Emmanuel Joel Aikins & Usman, Muhammad & Umar, Muhammad, 2024. "Return and volatility spillovers among oil price shocks and international green bond markets," Research in International Business and Finance, Elsevier, vol. 69(C).
  30. Kocaarslan, Baris & Soytas, Ugur, 2023. "The role of major markets in predicting the U.S. municipal green bond market performance: New evidence from machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
  31. Elsayed, Ahmed H. & Billah, Mabruk & Goodell, John W. & Hadhri, Sinda, 2024. "Examining connections between the fourth industrial revolution and energy markets," Energy Economics, Elsevier, vol. 133(C).
  32. Dongming Jiang & Fang Jia, 2022. "Extreme Spillover between Green Bonds and Clean Energy Markets," Sustainability, MDPI, vol. 14(10), pages 1-15, May.
  33. Hu, Xin & Zhu, Bo & Lin, Renda & Li, Xiru & Zeng, Lidan & Zhou, Sitong, 2024. "How does greenness translate into greenium? Evidence from China's green bonds," Energy Economics, Elsevier, vol. 133(C).
  34. Julija Bužinskė & Jelena Stankevičienė, 2023. "Analysis of Success Factors, Benefits, and Challenges of Issuing Green Bonds in Lithuania," Economies, MDPI, vol. 11(5), pages 1-20, May.
  35. Kocaarslan, Baris, 2023. "Funding liquidity risk and the volatility of U.S. municipal green bonds during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 58(PD).
  36. Chen, Yanan & Qi, Haozhi, 2024. "Dynamic interplay between Chinese energy, renewable energy stocks, and commodity markets: Time-frequency causality study," Renewable Energy, Elsevier, vol. 228(C).
  37. Xu, Danyang & Hu, Yang & Corbet, Shaen & Lang, Chunlin, 2024. "Return connectedness of green bonds and financial investment channels in China: Implications for hedging and regulation," Research in International Business and Finance, Elsevier, vol. 70(PA).
  38. Wang, Xiaoyang, 2022. "Efficient markets are more connected: An entropy-based analysis of the energy, industrial metal and financial markets," Energy Economics, Elsevier, vol. 111(C).
  39. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
  40. Li, Yanxi & Yu, Conghui & Shi, Jinyan & Liu, Yuanyuan, 2023. "How does green bond issuance affect total factor productivity? Evidence from Chinese listed enterprises," Energy Economics, Elsevier, vol. 123(C).
  41. Monika Hadaś-Dyduch & Blandyna Puszer & Maria Czech & Janusz Cichy, 2022. "Green Bonds as an Instrument for Financing Ecological Investments in the V4 Countries," Sustainability, MDPI, vol. 14(19), pages 1-48, September.
  42. Behnam Zakeri & Katsia Paulavets & Leonardo Barreto-Gomez & Luis Gomez Echeverri & Shonali Pachauri & Benigna Boza-Kiss & Caroline Zimm & Joeri Rogelj & Felix Creutzig & Diana Ürge-Vorsatz & David G. , 2022. "Pandemic, War, and Global Energy Transitions," Energies, MDPI, vol. 15(17), pages 1-23, August.
  43. Xu, Danyang & Hu, Yang & Corbet, Shaen & Hou, Yang (Greg) & Oxley, Les, 2024. "Green bonds and traditional and emerging investments: Understanding connectedness during crises," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  44. Billah, Mabruk & Elsayed, Ahmed H. & Hadhri, Sinda, 2023. "Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  45. Liu, Min & Liu, Hong-Fei & Lee, Chien-Chiang, 2024. "An empirical study on the response of the energy market to the shock from the artificial intelligence industry," Energy, Elsevier, vol. 288(C).
  46. Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
  47. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
  48. Doğan, Buhari & Trabelsi, Nader & Tiwari, Aviral Kumar & Ghosh, Sudeshna, 2023. "Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 36-62.
  49. Vogl, Markus & Kojić, Milena & Mitić, Petar, 2024. "Dynamics of green and conventional bond markets: Evidence from the generalized chaos analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 633(C).
  50. Mensi, Walid & Selmi, Refk & Al-Kharusi, Sami & Belghouthi, Houssem Eddine & Kang, Sang Hoon, 2024. "Connectedness between green bonds, conventional bonds, oil, heating oil, natural gas, and petrol: new evidence during bear and bull market scenarios," Resources Policy, Elsevier, vol. 91(C).
  51. Helmi, Mohamad Husam & Elsayed, Ahmed H. & Khalfaoui, Rabeh, 2024. "The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis," Finance Research Letters, Elsevier, vol. 64(C).
  52. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).
  53. Martiradonna, Monica & Romagnoli, Silvia & Santini, Amia, 2023. "The beneficial role of green bonds as a new strategic asset class: Dynamic dependencies, allocation and diversification before and during the pandemic era," Energy Economics, Elsevier, vol. 120(C).
  54. Rehman, Mobeen Ur & Nautiyal, Neeraj & Ghardallou, Wafa & Vo, Xuan Vinh & Zeitun, Rami, 2023. "Comovement and spillover among energy markets: A Comparison across different crisis periods," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 277-302.
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