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

doi:10.1016/j.frl.2020.101739

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 journal › Article › peer-review

326 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 language	English
Article number	101739
Journal	Finance Research Letters
Volume	40
DOIs	https://doi.org/10.1016/j.frl.2020.101739
Publication status	Published - May 2021
Externally published	Yes

Keywords

Diversification
Green bonds
Time-frequency comovement
Wavelet

ASJC Scopus subject areas

Finance

Access to Document

10.1016/j.frl.2020.101739

Cite this

@article{925b737e35dd4686901d31458d9ad4a5,

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

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.",

keywords = "Diversification, Green bonds, Time-frequency comovement, Wavelet",

author = "Nguyen, {Thi Thu Ha} and Naeem, {Muhammad Abubakr} and Faruk Balli and Balli, {Hatice Ozer} and Vo, {Xuan Vinh}",

note = "Publisher Copyright: {\textcopyright} 2020 Elsevier Inc.",

year = "2021",

month = may,

doi = "10.1016/j.frl.2020.101739",

language = "English",

volume = "40",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds

AU - Nguyen, Thi Thu Ha

AU - Naeem, Muhammad Abubakr

AU - Balli, Faruk

AU - Balli, Hatice Ozer

AU - Vo, Xuan Vinh

PY - 2021/5

Y1 - 2021/5

N2 - 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.

AB - 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.

KW - Diversification

KW - Green bonds

KW - Time-frequency comovement

KW - Wavelet

UR - http://www.scopus.com/inward/record.url?scp=85090965548&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85090965548&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2020.101739

DO - 10.1016/j.frl.2020.101739

M3 - Article

AN - SCOPUS:85090965548

SN - 1544-6123

VL - 40

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101739

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this