Frequency connectedness and cross-quantile dependence between green bond and green equity markets

Linh Pham

Energy Economics, 2021, vol. 98, issue C

Abstract: This paper aims at investigating the frequency connectedness and cross-quantile dependence between green bond and green equity markets. By decomposing green bond and green equity time series data into different frequency bands, we first identify how the connectedness between green bond and green equity varies between the short-term, medium-term and long-term investment horizons. Next, we employ a cross-quantilogram framework to investigate the cross-quantile dependence between green bond and green equity and to capture the spillovers between these markets across a wide range of market conditions. Our empirical results suggest that after controlling for movements in the general stock, energy and fixed-income markets, the dependence between green bond and green equity during normal market conditions is relatively small. On the other hand, green bond and green equity are more connected during extreme market movements, where they boom and bust together. We also find that across all market conditions, the spillover effects between green bond and green equity are short-lived, as the degree of connectedness dissipates in the medium- and long-term investment horizons. Our results have important implications for environmentally conscious investors and policymakers.

Keywords: Green equity; Green bond; Frequency connectedness; Cross-quantile dependence (search for similar items in EconPapers)
JEL-codes: G1 Q2 Q4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (97)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988321001626
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001626

DOI: 10.1016/j.eneco.2021.105257

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().