Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds

Thi Thu Ha Nguyen, Muhammad Abubakr Naeem, Faruk Balli, Hatice Ozer Balli, Xuan Vinh Vo

Research output: Contribution to journalArticlepeer-review

240 Citations (Scopus)

Abstract

The paper examines the inter-relationship between green bonds and other asset markets, including stocks, commodities, clean energy, and conventional bonds over 11 years from 2008 to 2019. The dynamic features of correlation across asset pairs over time and in different frequencies are assessed through the rolling window wavelet correlation approach. We find strong evidence that most correlation emerged and reached a peak in the aftermath of GFC 2007-2009. While comovement among stocks, commodities, and clean energy is found relatively high, the diversification benefit of green bonds is significantly revealed due to its low or negative correlation with stocks and commodities.

Original languageEnglish
Article number101739
JournalFinance Research Letters
Volume40
DOIs
Publication statusPublished - May 2021
Externally publishedYes

Keywords

  • Diversification
  • Green bonds
  • Time-frequency comovement
  • Wavelet

ASJC Scopus subject areas

  • Finance

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