TY - JOUR
T1 - Asymmetric relationship between green bonds and commodities
T2 - Evidence from extreme quantile approach
AU - Naeem, Muhammad Abubakr
AU - Nguyen, Thi Thu Ha
AU - Nepal, Rabindra
AU - Ngo, Quang Thanh
AU - Taghizadeh–Hesary, Farhad
N1 - Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2021/11
Y1 - 2021/11
N2 - The paper documents the asymmetric relationship between green bonds and commodities via the cross-quantilogram approach. Given the heterogeneity nature of individual commodities, we employ three commodity key groups, including energy, metals, and agriculture. As expected, the empirical evidence highlights the asymmetric behaviors of green bonds in response to diverse groups of commodities. Further, the hedging and diversification benefit of including green bonds to commodity portfolio is revealed. Defined by the uncorrelation or negative correlation with commodities in the periods of high volatility, we found the strongest hedging benefit of green bonds against the fluctuation of natural gas, some industrial metals, and agricultural commodities. While these underlying features are persistent in the long run, it is recommended to utilize the use of green bonds in the longer term (22 days) for higher portfolio performance rather than the short term (1 to 5 days).
AB - The paper documents the asymmetric relationship between green bonds and commodities via the cross-quantilogram approach. Given the heterogeneity nature of individual commodities, we employ three commodity key groups, including energy, metals, and agriculture. As expected, the empirical evidence highlights the asymmetric behaviors of green bonds in response to diverse groups of commodities. Further, the hedging and diversification benefit of including green bonds to commodity portfolio is revealed. Defined by the uncorrelation or negative correlation with commodities in the periods of high volatility, we found the strongest hedging benefit of green bonds against the fluctuation of natural gas, some industrial metals, and agricultural commodities. While these underlying features are persistent in the long run, it is recommended to utilize the use of green bonds in the longer term (22 days) for higher portfolio performance rather than the short term (1 to 5 days).
KW - Commodities
KW - Cross-quantilogram
KW - Diversification
KW - Green bonds
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U2 - 10.1016/j.frl.2021.101983
DO - 10.1016/j.frl.2021.101983
M3 - Article
AN - SCOPUS:85101639266
SN - 1544-6123
VL - 43
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101983
ER -