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Volatility Spillovers between Equity and Green Bond Markets

Citations

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Cited by:

  1. Guo, Dong & Zhou, Peng, 2021. "Green bonds as hedging assets before and after COVID: A comparative study between the US and China," Energy Economics, Elsevier, vol. 104(C).
  2. Arkadiusz Orzechowski & Małgorzata Bombol, 2022. "Energy Security, Sustainable Development and the Green Bond Market," Energies, MDPI, vol. 15(17), pages 1-17, August.
  3. Ringstad, Ingrid Emilie Flessum & Tselika, Kyriaki, 2023. "Time and frequency dynamics of connectedness between green bonds, clean energy markets and carbon prices," Discussion Papers 2023/18, Norwegian School of Economics, Department of Business and Management Science.
  4. Sohag, Kazi & Sokolova, Yulia & Vilamová, Šárka & Blueschke, Dmitri, 2023. "Volatility transmission from critical minerals prices to green investments," Resources Policy, Elsevier, vol. 82(C).
  5. 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.
  6. Bhattacherjee, Purba & Mishra, Sibanjan & Bouri, Elie, 2024. "Does asset-based uncertainty drive asymmetric return connectedness across regional ESG markets?," Global Finance Journal, Elsevier, vol. 61(C).
  7. Mzoughi, Hela & Urom, Christian & Guesmi, Khaled, 2022. "Downside and upside risk spillovers between green finance and energy markets," Finance Research Letters, Elsevier, vol. 47(PA).
  8. 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.
  9. Hau, Liya & Yang, Xiaomei & Zhang, Yongmin, 2024. "Multiscale quantile dependence between China's green bond and green equity: Fresh evidence from higher-order moment perspective," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  10. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Vo, Xuan Vinh, 2022. "Oil shocks and volatility of green investments: GARCH-MIDAS analyses," Resources Policy, Elsevier, vol. 78(C).
  11. Giuseppe Cortellini & Ida Claudia Panetta, 2021. "Green Bond: A Systematic Literature Review for Future Research Agendas," JRFM, MDPI, vol. 14(12), pages 1-29, December.
  12. Pham, Linh & Nguyen, Canh Phuc, 2021. "Asymmetric tail dependence between green bonds and other asset classes," Global Finance Journal, Elsevier, vol. 50(C).
  13. Dongming Jiang & Fang Jia, 2022. "Extreme Spillover between Green Bonds and Clean Energy Markets," Sustainability, MDPI, vol. 14(10), pages 1-15, May.
  14. Rao, Amar & Kumar, Satish & Gupta, Prashant & Dash, Saumya Ranjan, 2024. "Quantifying the impact of interest rate volatility on Asian energy companies: A comparative study of fossil and renewable sectors," Energy Economics, Elsevier, vol. 133(C).
  15. Goodell, John W. & Corbet, Shaen & Yadav, Miklesh Prasad & Kumar, Satish & Sharma, Sudhi & Malik, Kunjana, 2022. "Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin," International Review of Financial Analysis, Elsevier, vol. 84(C).
  16. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Ghardallou, Wafa & Umar, Zaghum, 2022. "Is greenness an optimal hedge for sectoral stock indices?," Economic Modelling, Elsevier, vol. 117(C).
  17. Munir Khamis & Dalal Aassouli, 2023. "The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review," Sustainability, MDPI, vol. 15(8), pages 1-27, April.
  18. Sharma, Gagan Deep & Shahbaz, Muhammad & Singh, Sanjeet & Chopra, Ritika & Cifuentes-Faura, Javier, 2023. "Investigating the nexus between green economy, sustainability, bitcoin and oil prices: Contextual evidence from the United States," Resources Policy, Elsevier, vol. 80(C).
  19. Pham, Linh & Do, Hung Xuan, 2022. "Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management," Energy Economics, Elsevier, vol. 112(C).
  20. Ana-Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "On the Effect of Green Bonds on the Profitability and Credit Quality of Project Financing," Sustainability, MDPI, vol. 12(16), pages 1-19, August.
  21. Aamir Aijaz Syed & Farhan Ahmed & Muhammad Abdul Kamal & Assad Ullah & Jose Pedro Ramos-Requena, 2022. "Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America," Mathematics, MDPI, vol. 10(5), pages 1-15, February.
  22. Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022. "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  23. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Aarzoo Sharma & Dorika Jeremiah Mwamtambulo, 2022. "Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors," JRFM, MDPI, vol. 15(10), pages 1-17, October.
  24. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  25. Gao, Yang & Zhou, Yueyi & Zhao, Longfeng, 2024. "Quantile interdependence and network connectedness between China's green financial and energy markets," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1148-1177.
  26. Ibrahim D. Raheem & Oluyele Akinkugbe & Agboola H. Yusuf & Mahdi Ghaemi Asl, 2023. "Hedging strategies among financial markets: the case of green and brown assets," Empirical Economics, Springer, vol. 65(2), pages 831-873, August.
  27. Wei Su, Chi & Yue Song, Xin & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2024. "Optimistic or pessimistic: How do investors impact the green bond market?," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  28. Sheenan, Lisa & Schweers, Koen & Klein, Tony, 2024. "Interactions between sustainable bonds, renewable energy and other financial markets: A macroprudential perspective," Energy Economics, Elsevier, vol. 138(C).
  29. Imran, Zulfiqar Ali & Ahad, Muhammad, 2023. "Safe-haven properties of green bonds for industrial sectors (GICS) in the United States: Evidence from Covid-19 pandemic and Global Financial Crisis," Renewable Energy, Elsevier, vol. 210(C), pages 408-423.
  30. Le, TN-Lan & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2021. "Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
  31. Umar, Zaghum & Iqbal, Najaf & Teplova, Tamara & Tan, Duojiao, 2024. "Dynamic impact of the US yield curve on green bonds: Navigating through recent crises," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  32. Niu, Hongli & Zhang, Shasha, 2024. "Asymmetric effects of commodity and stock market on Chinese green market: Evidence from wavelet-based quantile-on-quantile approach," Renewable Energy, Elsevier, vol. 230(C).
  33. 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).
  34. Yadav, Mikesh Prasad & Pandey, Asheesh & Taghizadeh-Hesary, Farhad & Arya, Vandana & Mishra, Nandita, 2023. "Volatility spillover of green bond with renewable energy and crypto market," Renewable Energy, Elsevier, vol. 212(C), pages 928-939.
  35. Tan, Xiujie & Dong, Hanmin & Liu, Yishuang & Su, Xin & Li, Zixian, 2022. "Green bonds and corporate performance: A potential way to achieve green recovery," Renewable Energy, Elsevier, vol. 200(C), pages 59-68.
  36. Lucey, Brian & Ren, Boru, 2023. "Time-varying tail risk connectedness among sustainability-related products and fossil energy investments," Energy Economics, Elsevier, vol. 126(C).
  37. 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.
  38. Abhilash & Sandeep S. Shenoy & Dasharathraj K. Shetty & Lumen Shawn Lobo & Subrahmanya Kumar N., 2023. "Green Bond as an Innovative Financial Instrument in the Indian Financial Market: Insights From Systematic Literature Review Approach," SAGE Open, , vol. 13(2), pages 21582440231, June.
  39. Alessandra Ortolano & Eugenia Nissi, 2022. "The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period," Risks, MDPI, vol. 10(3), pages 1-13, February.
  40. Xiang, Shihui & Cao, Yanyan, 2023. "Green finance and natural resources commodities prices: Evidence from COVID-19 period," Resources Policy, Elsevier, vol. 80(C).
  41. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Adekoya, Oluwasegun B. & Hammoudeh, Shawkat, 2023. "What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?," Global Finance Journal, Elsevier, vol. 55(C).
  42. Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  43. Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Marie, Mohamed & Al-Faryan, Mamdouh Abdulaziz Saleh, 2023. "Green finance and commodities: Cross-market connectedness during different COVID-19 episodes," Resources Policy, Elsevier, vol. 85(PA).
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