Do green bonds offer a diversification opportunity during COVID-19?-an empirical evidence from energy, crypto, and carbon markets

【Author】 Yadav, Miklesh Prasad; Kumar, Satish; Mukherjee, Deepraj; Rao, Purnima

【Source】ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH

【影响因子】5.190

【Abstract】The present study is a novel attempt to unravel the connectedness of the green bond with energy, crypto, and carbon markets using the S&P green bond index (RSPGB). We consider MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as proxies of the energy market and use bitcoin and the European energy exchange carbon index (REEX) for the cryptocurrency and carbon market. Employing the Diebold and Yilmaz (2012), Barunik and Krehlik (2018), and wavelet coherence econometric techniques, we find that the energy market (RMGS) has the highest connectedness derived from other asset classes, and bitcoin (RBTC) has the least connectedness. Concurrently, we find that the risk transmission is heterogeneous in different scales as the short period has less connectedness than the medium and long run. We conclude that the overall diversification opportunity among green bonds, energy stock, bitcoin, and the carbon market is more in the short-run than in the medium and long-run. In summary, our findings on the green bond market will provide investors, portfolio managers, and policymakers with critical insight into ensuring a sustainable financial market.

【Keywords】Green bond; Energy market; Cryptocurrency; Carbon market; Connectedness; Diversification

【发表时间】

【收录时间】2022-09-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析