Impact of green bonds on traditional equity markets

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE Research in International Business and Finance Pub Date : 2024-10-05 DOI:10.1016/j.ribaf.2024.102606

Ahmed Bouteska , Faruk Bhuiyan , Taimur Sharif , Badir Miftah , Mohammad Zoynul Abedin

引用次数: 0

Abstract

This study examines the broader U.S. green bond market, with focus on its association with the U.S traditional equity market from 2016–2021. For this purpose, we use the S&P Green Bond Index, the S&P U.S. Aggregate Bond Index, and the S&P 500 to build the connection between the markets based on both univariate generalized autoregressive conditional heteroskedasticity (GARCH) and multivariate vector autoregression (VAR) models. Our empirical results show that the patterns of returns and the volatility behavior of green bonds included significant changes over the years of study. The findings highlight the importance of the emergence and evolution of the promising green bonds market, thus providing useful policy implications for portfolio and risk management as well as asset pricing. This study contributes to a deeper understanding of the impact of green bonds on equity markets.

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绿色债券对传统股票市场的影响

本研究探讨了更广泛的美国绿色债券市场，重点关注其在 2016-2021 年间与美国传统股票市场的关联。为此，我们使用 S&P 绿色债券指数、S&P 美国综合债券指数和 S&P 500 指数，基于单变量广义自回归条件异方差（GARCH）和多变量向量自回归（VAR）模型，建立市场之间的联系。我们的实证结果表明，绿色债券的收益模式和波动行为在研究期间发生了显著变化。研究结果凸显了前景广阔的绿色债券市场出现和演变的重要性，从而为投资组合和风险管理以及资产定价提供了有益的政策启示。本研究有助于加深理解绿色债券对股票市场的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance