Green bonds and financial markets: Interdependence across different market situations

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dc.authorid0000-0003-2628-5027en_US
dc.authorid0000-0001-8818-0752en_US
dc.authorid0000-0001-7742-6059en_US
dc.authorid0000-0002-9216-5210en_US
dc.contributor.authorGök, Remzi
dc.contributor.authorŞenol, Zekai
dc.contributor.authorDurgun, Burhan
dc.contributor.authorBouri, Elie
dc.date.accessioned2025-02-20T11:32:03Z
dc.date.available2025-02-20T11:32:03Z
dc.date.issued2025en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractThis 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.en_US
dc.identifier.citationGök, 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.en_US
dc.identifier.endpage24en_US
dc.identifier.issn2212-4292
dc.identifier.pmid39591713
dc.identifier.scopus2-s2.0-85209875351
dc.identifier.scopusqualityQ1
dc.identifier.startpage1en_US
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0301479724033942?via%3Dihub
dc.identifier.urihttps://hdl.handle.net/11468/29476
dc.identifier.volume373en_US
dc.identifier.wosWOS:001368012800001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakPubMed
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.institutionauthorDurgun, Burhan
dc.language.isoenen_US
dc.publisherAcademic Pressen_US
dc.relation.ispartofJournal of Environmental Management
dc.relation.isversionof10.1016/j.jenvman.2024.123408en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCrude oilen_US
dc.subjectBitcoinen_US
dc.subjectEthereumen_US
dc.subjectGolden_US
dc.subjectGreen and conventional bondsen_US
dc.subjectIslamic and conventional stocksen_US
dc.subjectQuantilesen_US
dc.subjectSafe-havenen_US
dc.titleGreen bonds and financial markets: Interdependence across different market situationsen_US
dc.titleGreen bonds and financial markets: Interdependence across different market situations
dc.typeArticleen_US

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