Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19

Muhammad Arif (), Muhammad Abubakr Naeem (), Saqib Farid (), Rabindra Nepal and Tooraj Jamasb
Additional contact information
Muhammad Arif: Department of Business Administration, Shaheed Benazir Bhutto University, Shaheed Benazirabad, Pakistan
Muhammad Abubakr Naeem: School of Economics and Finance, Massey University, New Zealand and Business Administration Department, Faculty of Management Sciences, ILMA University, Karachi, Pakistan
Saqib Farid: School of Business and Economics, University of Management and Technology, Pakistan

No 1-2021, Working Papers from Copenhagen Business School, Department of Economics

Abstract: Against the backdrop of the Covid-19 pandemic, this study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We use the cross-quantilogram approach that provides a better understanding of the dynamic relationship between assets under different market conditions. Our full sample results show that the green bond index could serve as a diversifier asset for medium- and long-term equity investors. Besides, it can also serve as a hedging and safe haven instrument for currency and commodity investments. Moreover, the sub-sample analysis of the pandemic crisis period shows a heightened short- and medium-term lead-lag association between the green bond index and conventional investment returns. However, the green bond index emerges as a significant hedging and safe-haven asset for the long-term investors of conventional financial assets. Our results offer insights for long-term investors whose portfolios comprise conventional assets such as equities, commodities, forex, and fixed income securities. Further, our findings reveal the potential role that the green bond investments could play in global financial recovery efforts without compromising the low-carbon transition targets.

Keywords: Green bonds; Hedge; Safe-haven; Cross-quantilogram; COVID-19 (search for similar items in EconPapers)
JEL-codes: G10 G11 G19 Q01 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2020-10-11
New Economics Papers: this item is included in nep-env, nep-fmk, nep-isf and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10398/a2eabd53-a812-4dce-ad5a-1f3fe9204b83 Full text (application/pdf)
Full text not avaiable

Related works:
Journal Article: Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19 (2022)
Working Paper: Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19 (2021)
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:hhs:cbsnow:2021_001

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Copenhagen Business School, Department of Economics Copenhagen Business School, Department of Economics, Porcelaenshaven 16 A. 1.floor, DK-2000 Frederiksberg, Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by CBS Library Research Registration Team ().