Green bonds and financial markets: Interdependence across different market situations
Yükleniyor...
Tarih
2025
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Academic Press
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study examines the multifaceted return interdependence between green bonds and various assets and markets (conventional bonds, Islamic and conventional stocks, Bitcoin, Ethereum, crude oil, and gold), covering various market conditions. Daily data are from January 11, 2016 to February 12, 2024, and the methods employed include quantile-on-quantile return connectedness (QQC), cross-quantilogram (CQ), and Granger causality in quantiles (GC), which allow us to make inferences about the safe-haven ability of green bonds. The QQC results establish that the connectedness at directly related quantiles is more pronounced than those of inversely related quantiles for all cases. The degree of return connectedness is highest with conventional bonds, followed by gold and stocks. Green bonds act as the net transmitter of spillover shocks to Bitcoin and gold markets, whereas it serves as the receiver of shocks from the remaining markets. The CQ results indicate that positive returns in green bonds significantly follow negative returns in conventional bonds 5 days later, suggesting that green bonds have a one-week lagged safe-haven ability. The GC from green bonds is bidirectional and mostly intensified in extreme quantiles with oil, cryptocurrencies, and conventional stocks, but unidirectional and visible with Islamic stocks during market downturns.
Açıklama
Anahtar Kelimeler
Crude oil, Bitcoin, Ethereum, Gold, Green and conventional bonds, Islamic and conventional stocks, Quantiles, Safe-haven
Kaynak
Journal of Environmental Management
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
373
Sayı
Künye
Gök, R., Şenol, Z., Durgun, B. ve Bouri, E. (2025). Green bonds and financial markets: Interdependence across different market situations. Journal of Environmental Management, 373, 1-24.
