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Yadav, MP, Tandon, P, Singh, AB, Shore, A and Gaur, P (2022) Exploring time and frequency linkages of green bond with renewable energy and crypto market. Annals of Operations Research. ISSN 0254-5330
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Abstract
This paper examines the dynamic linkages of green bond with the energy and crypto market. The S&P green bond index (RSPGB) is used as a proxy for the green bond market; S&P global clean energy index and ISE global wind energy (RIGW) are used as proxies for the renewable energy market, and; Bitcoin and Ethereum (RETHER) are used as the proxies of the crypto market. The daily prices of these constituent series are collected using Bloomberg from October 3, 2016 to February 23, 2021. We undertake an empirical analysis through the application of three key tests, namely: dynamic conditional correlation (DCC), Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012. 10.1016/j.ijforecast.2011.02.006), Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018. 10.1093/jjfinec/nby001) model. The DCC reveals no dynamic linkages of volatility from the green bond to the energy and crypto market in the short run. Referring to Diebold and Yilmaz (2012), it dictates that the green bond (RSPGB) is a net receiver while the energy market (RIGW) and cryptocurrency (RETHER) are the largest and least contributors to the transmission of the volatility. Additionally, the Baruník and Křehlík (2018) model confirmed that the magnitude of the total spillover is high in more prolonged than shorter periods, suggesting reduced diversification opportunities. Overall, the present study exemplifies the significance of the green bond market as protection against risk.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | 01 Mathematical Sciences; 08 Information and Computing Sciences; 15 Commerce, Management, Tourism and Services; Operations Research |
| Subjects: | H Social Sciences > HF Commerce > HF5001 Business G Geography. Anthropology. Recreation > GE Environmental Sciences H Social Sciences > HF Commerce |
| Divisions: | Business & Management (from Sep 19) |
| Publisher: | Springer Science and Business Media LLC |
| SWORD Depositor: | A Symplectic |
| Date Deposited: | 09 Dec 2022 11:11 |
| Last Modified: | 09 Dec 2022 11:15 |
| DOI or ID number: | 10.1007/s10479-022-05074-8 |
| URI: | https://researchonline.ljmu.ac.uk/id/eprint/18364 |
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