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

IF 7.5 1区 经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2025-02-27 DOI:10.1016/j.irfa.2025.104046
Yaling Chen , Qinnan Jiang , Zhifeng Dai , Yinpeng Liu
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The impact of climate policy uncertainty on the correlations between green bond and green stock markets
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.
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来源期刊
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.
期刊最新文献
Quantifying uncertainty in economics policy predictions: A Bayesian & Monte Carlo based data-driven approach Earning quality and climate risk: The case of European firms Employee welfare and earnings management Financial order matters: The real effect of financial-judicial trials on stock price informativeness International capital flows, financial development, and economic growth fluctuations
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