Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets

Muhammad Abubakr Naeem, Sitara Karim, Gazi Salah Uddin, Juha Junttila

Research output: Contribution to journalArticlepeer-review

66 Citations (Scopus)

Abstract

We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some ‘big pond’ markets for e.g. commodities, whereas some others affect the connectedness negatively. Additional analysis of financial and economic uncertainty indicators manifests positive impacts from the volatility of some ‘big pond’ markets, e.g., commodities, while others negatively affect the connectedness.

Original languageEnglish
Article number102283
JournalInternational Review of Financial Analysis
Volume83
DOIs
Publication statusPublished - Oct 2022

Keywords

  • Commodities
  • Connectedness
  • Green markets
  • Time-frequency
  • US sectors

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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