绿色资产之间的相关性和价格溢出效应

IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Annals of Operations Research Pub Date : 2024-07-25 DOI:10.1007/s10479-024-06154-7
Aviral Kumar Tiwari, Satish Kumar, Emmanuel Joel Aikins Abakah
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引用次数: 0

摘要

本文采用滚动窗口小波相关性、多尺度量化相关系数和量化 VAR 方法等稳健估计技术,研究了生态友好型资产类别之间的溢出效应、关联性和相关性。具体而言,研究的生态友好型资产包括 S&P 绿色债券精选指数价格指数、S&P 绿色债券指数价格指数和道琼斯可持续发展指数世界价格指数。其他变量包括 MSCI 全球环境价格指数的成分股:替代能源、绿色建筑和污染防治或清洁技术。我们使用的是 2010 年 8 月 31 日至 2022 年 1 月 13 日的每日回报。我们的研究结果证实,当绿色债券指数与绿色股票配对时,可在不同的数量级和时间范围内提供多样化机会。结果证实,在市场动荡时期,投资者可以利用绿色债券的对冲和避险潜力来对抗绿色股票。
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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Correlation and price spillover effects among green assets

This paper examines the spillover effects, connectedness and correlation among eco-friendly asset classes using robust estimation techniques such as rolling window wavelet correlation, multiscale quantile correlation coefficient and quantile VAR approaches. Specifically, the eco-friendly assets examined include the S&P Green Bond Select Index Price Index, the S&P Green Bond Index Price Index and the Dow Jones Sustainability Index World Price Index. Additional variables include the constituents of the MSCI Global Environment Price Index: Alternative Energy, Green Building, and Pollution Prevention or Clean Technology. We use daily returns from August 31, 2010, to January 13, 2022. Our results confirm that green bond indices offer opportunities for diversification across varying quantiles and time scales when paired with green stocks. Results confirm that investors can exploit the hedging and safe-haven potential of green bonds against green stocks in times of turbulent market.

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来源期刊
Annals of Operations Research
Annals of Operations Research 管理科学-运筹学与管理科学
CiteScore
7.90
自引率
16.70%
发文量
596
审稿时长
8.4 months
期刊介绍: The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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