Effects of COVID-19 on green bonds, renewable power stocks, and carbon markets: A dynamic spillover analysis

LiXia Zhang, Zulfiqar Ali Baloch and Guangli Niu

Renewable Energy, 2023, vol. 216, issue C

Abstract: This study investigates the effects of the COVID-19 pandemic on green bonds, carbon pricing, and renewable energy equities. It uses daily data from January 4, 2015, to September 22, 2020. The dataset includes the price indices for Standard and Green Bond, Selective International Solar, Wind, S&P Global Sustainable Energy, and Carbon to explore return spillover and connectedness. This study investigates the use of the TVP-VAR approach with least variance collection by economic events. Additionally, a spillover dynamic connectedness model was implemented for robustness. Our findings indicate that the implied dynamic connectedness and effectiveness of green-bound assets are long- and short-term positions in the green bound against volatilities. Specifically, clean energy uses connectedness as the primary net transmitter of shocks from green bond markets and renewable energy during COVID-19. This study provides evidence that a high interconnection between green bonds highlights multivariate portfolios. Finally, the green bound, with the lowest dynamic connectedness information regarding the return transmission process, was useful for renewable energy, during the COVID-19 pandemic, a similar pattern was found.

Keywords: Renewable energy; Green finance; Green bonds; Econometric analysis; Carbon markets (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:renene:v:216:y:2023:i:c:s0960148123007978

DOI: 10.1016/j.renene.2023.06.021

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