探索绿色股票和债券的相互联系与风险评估:TVP-VAR 模型和基于小波的 VaR 分析的新视角

IF 9 1区 经济学 Q1 BUSINESS, FINANCE China Finance Review International Pub Date : 2024-08-15 DOI:10.1108/cfri-05-2024-0237
Mohamed Yousfi, Houssam Bouzgarrou
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引用次数: 0

摘要

目的本研究试图考察环境可持续资产之间的时变波动溢出效应,并量化不同频率下投资组合的风险价值。研究结果实证结果显示,在 COVID-19 危机期间,绿色股票和绿色债券之间的关联指数显著上升,这表明存在传染效应。由于绿色资产之间的溢出效应增加,投资组合的风险比率也在大流行病期间急剧上升,尤其是在中长期期限内。值得注意的是,我们的分析表明,绿色债券影响了绿色股票之间的关联系统和风险价值比率,降低了不同投资期限内的波动溢出效应和投资组合风险比率。这些结果凸显了绿色债券作为一种有效的分散资产,在抵御绿色股票相关风险方面所发挥的作用。我们为具有环保意识、希望实现投资组合去碳化并缓解环境问题的绿色投资者提出了一些投资组合方面的启示。
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Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis

Purpose

This study attempts to examine the time-varying volatility spillovers between environmentally sustainable assets and quantify the value-at-risk of the portfolios across various frequencies.

Design/methodology/approach

To accomplish these objectives, this paper utilizes a connectedness index-based TVP-VAR model and applies the wavelet-based VaR ratio to daily data spanning from January 2018 to September 2023.

Findings

The empirical findings reveal a notable increase in the connectedness index between green stocks and green bonds during the COVID-19 crisis, signifying evidence of a contagion effect. The portfolio’s risk ratio also exhibited a sharp rise amid the pandemic, particularly over medium and long-term horizons, driven by increased spillover among green assets. Notably, our analysis indicates that green bonds influence the connectedness system between green stocks and the value-at-risk ratio, reducing volatility spillover and portfolio risk ratios across various investment horizons. These results highlight the role of green bonds as an effective diversification asset against the risks associated with green equities.

Originality/value

This research investigates the dynamic connectedness and value-at-risk ratio between eight green sectoral renewable energy and non-energy equities and green bonds. We put forward some portfolio implications for green investors with an environmental consciousness who desire to decarbonize their portfolios and mitigate environmental issues.

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来源期刊
CiteScore
12.40
自引率
1.20%
发文量
112
期刊介绍: China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.
期刊最新文献
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