Do Green Bonds Offer a Diversification Opportunity During COVID19? - An Empirical Evidence from Energy, Crypto, and Carbon Markets

Department of Economics
  1. Open Access Kent State
  2. Kent State University COVID-19 research and funded grants
  3. Do Green Bonds Offer a Diversification Opportunity During COVID19? - An Empirical Evidence from Energy, Crypto, and Carbon Markets
Author(s)
Abstract

Using the S&P green bond index (RSPGB), this study attempts to unravel the connectedness of the green bond with energy, crypto, and carbon markets. We use MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as proxies of the energy market. In addition, we consider Bitcoin and the European energy exchange carbon index (REEX) for the cryptocurrency, and carbon market, respectively. Using the daily data from October 1, 2015, to December 13, 2021, of these constituent markets, we employ Diebold Yilmaz (2012), Barunik and Krehlik (2017), and wavelet coherence. The result reveals that the energy market (RMGS) has the highest connectedness derived from other asset classes, and bitcoin (RBTC) has the least connectedness. In addition, we note that risk transmission is heterogeneous in different scales as the short period has less connectedness than the medium and long run. Hence, the overall diversification opportunity among green bonds, energy stock, Bitcoin, and the carbon market is more in the short-run than in the medium and long-run. Surprisingly, there is no lead-lag relationship among these markets. This study provides insights to investors, policymakers, and portfolio managers.
Format
Article
Identifier(s)
10.21203/rs.3.rs-1630507/v1
Publication Date
2022-05-25
Publication Title
Environmental Science and Pollution Research
Extent
24
Keywords
Rights
https://rightsstatements.org/page/InC/1.0/
License
Creative Commons Attribution 4.0
Community
Department of Economics
Permalink https://oaks.kent.edu/covid19ksu/do-green-bonds-offer-diversification-opportunity-during-covid19-empirical-evidence
Mukherjee, D., Kumar, S., Yadav, M., & Rao, P. (2022). Do Green Bonds Offer a Diversification Opportunity During COVID19? - An Empirical Evidence from Energy, Crypto, and Carbon Markets (1–). Environmental Science and Pollution Research. https://doi.org/https://doi.org/10.21203/rs.3.rs-1630507/v1
Mukherjee, Deepraj, S. Kumar, M. Yadav, and P. Rao. 2022. “Do Green Bonds Offer a Diversification Opportunity During COVID19? - An Empirical Evidence from Energy, Crypto, and Carbon Markets”. Environmental Science and Pollution Research. https://doi.org/https://doi.org/10.21203/rs.3.rs-1630507/v1.
Mukherjee, Deepraj, et al. Do Green Bonds Offer a Diversification Opportunity During COVID19? - An Empirical Evidence from Energy, Crypto, and Carbon Markets. Environmental Science and Pollution Research, 25 May 2022, https://doi.org/https://doi.org/10.21203/rs.3.rs-1630507/v1.