The impact of climate policy uncertainty on the correlations between green bond and green stock markets

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2025-06-01 Epub Date: 2025-02-27 DOI:10.1016/j.irfa.2025.104046

Yaling Chen , Qinnan Jiang , Zhifeng Dai , Yinpeng Liu

{"title":"The impact of climate policy uncertainty on the correlations between green bond and green stock markets","authors":"Yaling Chen , Qinnan Jiang , Zhifeng Dai , Yinpeng Liu","doi":"10.1016/j.irfa.2025.104046","DOIUrl":null,"url":null,"abstract":"<div><div>The correlations among financial assets, portfolio construction, and risk management are inseparable. This paper utilizes the DCC-MIDAS model and quantile-on-quantile (QQ) approach to investigate dynamic relationships between green bond and various green stock markets, as well as the influencing factors. Furthermore, we also consider the portfolio diversification and the hedging potential of green bond for green stocks. The results indicate that, firstly, correlations between them are relatively weak and exhibit time-varying characteristics across different time scales. Secondly, incorporating a certain proportion of green bond assets when investing in green stocks can significantly reduce overall risk. However, we observe that in the face of extreme CPU shocks, the green bond does not appear to function as a strong safe-haven asset for green stocks. Finally, CPU exhibits an asymmetric, nonlinear positive impact on their long-term correlations. The findings help provide decision-making support for investors to adjust asset allocations, and assist regulatory agencies in enhancing their ability to identify risks in the green financial market.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"102 ","pages":"Article 104046"},"PeriodicalIF":9.8000,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521925001334","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/2/27 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

The correlations among financial assets, portfolio construction, and risk management are inseparable. This paper utilizes the DCC-MIDAS model and quantile-on-quantile (QQ) approach to investigate dynamic relationships between green bond and various green stock markets, as well as the influencing factors. Furthermore, we also consider the portfolio diversification and the hedging potential of green bond for green stocks. The results indicate that, firstly, correlations between them are relatively weak and exhibit time-varying characteristics across different time scales. Secondly, incorporating a certain proportion of green bond assets when investing in green stocks can significantly reduce overall risk. However, we observe that in the face of extreme CPU shocks, the green bond does not appear to function as a strong safe-haven asset for green stocks. Finally, CPU exhibits an asymmetric, nonlinear positive impact on their long-term correlations. The findings help provide decision-making support for investors to adjust asset allocations, and assist regulatory agencies in enhancing their ability to identify risks in the green financial market.

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

气候政策不确定性对绿色债券和绿色股票市场相关性的影响

金融资产、投资组合构建和风险管理三者之间的相关性是不可分割的。本文运用DCC-MIDAS模型和QQ方法研究了绿色债券与各类绿色股票市场之间的动态关系及其影响因素。此外，我们还考虑了投资组合的多元化和绿色债券对绿色股票的对冲潜力。结果表明：①在不同的时间尺度上，两者之间的相关性较弱，且呈现时变特征；其次，在投资绿色股票时纳入一定比例的绿色债券资产，可以显著降低整体风险。然而，我们观察到，面对极端的CPU冲击，绿色债券似乎并没有作为绿色股票的强大避险资产。最后，CPU对它们的长期相关性表现出不对称的、非线性的积极影响。研究结果有助于为投资者调整资产配置提供决策支持，并有助于监管机构提高绿色金融市场风险识别能力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文去求助

来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.