Modelling the mean and volatility spillover between green bond market and renewable energy stock market

IF 5.5 Q1 BUSINESS, FINANCE Green Finance Pub Date : 2022-01-01 DOI:10.3934/gf.2022015

S. Gyamerah, B. E. Owusu, and Ellis Kofi Akwaa-Sekyi

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引用次数: 5

Abstract

In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volatility spillover effects from the green bond market to the renewable energy stock market and vice-versa. The results from the VAR-BEKK-GARCH model indicate that there exists a uni-directional Granger causality from renewable energy stock prices to green bond prices. While the price of green bonds is positively influenced by its own lagged values and the lagged values of renewable energy stock prices,only the past price value of renewable energy stocks has a positive effect on the current price value. We identified a uni-directional volatility spillover from renewable energy stock prices to green bond prices. However,there was no shock spillover from both sides of the market. This research shows that investors in the green bond market should always consider information from the renewable energy stock market because of the causal link between renewable energy stocks and green bonds.

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绿色债券市场与可再生能源股票市场的均值和波动溢出效应建模

本文利用2011年11月2日至2021年8月31日的每日价格序列，研究了绿色债券价格与可再生能源股票价格之间的均值和波动率溢出效应。本文采用不受限制的三变量VAR-BEKK-GARCH模型来检验绿色债券市场对可再生能源股票市场的潜在因果关系、均值和波动率溢出效应，以及反之亦然。VAR-BEKK-GARCH模型结果表明，可再生能源股票价格与绿色债券价格之间存在单向格兰杰因果关系。绿色债券的价格受到其自身的滞后价值和可再生能源股票价格的滞后价值的正向影响，但只有可再生能源股票的过去价格价值对当前价格价值有正向影响。我们发现了从可再生能源股票价格到绿色债券价格的单向波动溢出。然而，市场双方都没有产生冲击溢出效应。本研究表明，由于可再生能源股票与绿色债券之间存在因果关系，因此绿色债券市场的投资者应始终考虑来自可再生能源股票市场的信息。

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来源期刊

Green Finance Multiple-

CiteScore

9.60

自引率

3.50%

发文量

审稿时长

6 weeks

期刊介绍： Green Finance is an international, interdisciplinary Open Access journal dedicated to green finance, environmental, and sustainability research and practice. It offers a platform for publishing original contributions and technical reviews on green finance and related topics, following a rigorous peer-review process. Accepted article types include original research, reviews, editorials, letters, and conference reports.