Extreme risk dependence between green bonds and financial markets

【Author】 Karim, Sitara; Lucey, Brian M.; Naeem, Muhammad A.; Yarovaya, Larisa

【Source】EUROPEAN FINANCIAL MANAGEMENT

【影响因子】2.295

【Abstract】The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time-varying optimal copula and extreme risk spillover analysis of dynamic conditional Value-at-Risk. We report significant symmetric (asymmetric) tail-dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe-haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID-19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues.

【Keywords】CoVaR; COVID-19; financial markets; green bonds; TVOC

【发表时间】2023 2023 SEP 16

【收录时间】2023-09-29

【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