{"title":"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","authors":"Mohamed Yousfi, Houssam Bouzgarrou","doi":"10.1108/cfri-05-2024-0237","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>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.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>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.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":9.0000,"publicationDate":"2024-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis\",\"authors\":\"Mohamed Yousfi, Houssam Bouzgarrou\",\"doi\":\"10.1108/cfri-05-2024-0237\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<h3>Purpose</h3>\\n<p>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.</p><!--/ Abstract__block -->\\n<h3>Design/methodology/approach</h3>\\n<p>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.</p><!--/ Abstract__block -->\\n<h3>Findings</h3>\\n<p>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.</p><!--/ Abstract__block -->\\n<h3>Originality/value</h3>\\n<p>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.</p><!--/ Abstract__block -->\",\"PeriodicalId\":44440,\"journal\":{\"name\":\"China Finance Review International\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":9.0000,\"publicationDate\":\"2024-08-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"China Finance Review International\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1108/cfri-05-2024-0237\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"China Finance Review International","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1108/cfri-05-2024-0237","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.