Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19

Muhammad Arif, Muhammad Abubakr Naeem, Saqib Farid, Rabindra Nepal, Tooraj Jamasb

Research output: Contribution to journalArticlepeer-review

84 Citations (Scopus)


Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We employ the cross-quantilogram approach to understand better the dynamic relationship between two assets under different market conditions. Our full sample results reveal that the green bond index could serve as a diversifier asset for medium- and long-term equity investors. Besides, it can serve as a hedging and safe-haven instrument for currency and commodity investments. Moreover, the sub-sample analysis of the pandemic period shows a heightened short- and medium-term lead-lag association between the green bond index and conventional investment returns. However, the green bond index emerges as a significant hedging and safe-haven asset for long-term investors of conventional financial assets. Our findings offer valuable insights for long-term investors when their portfolios are comprised of conventional assets such as equities, commodities, forex, and fixed income securities. Further, our findings reveal the potential role of green bond investments in global financial recovery efforts without compromising the low-carbon transition targets.

Original languageEnglish
Article number113102
JournalEnergy Policy
Publication statusPublished - Sept 2022


  • COVID-19
  • Cross-quantilogram
  • Green bonds
  • Hedge
  • Safe-haven

ASJC Scopus subject areas

  • General Energy
  • Management, Monitoring, Policy and Law


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