Dynamic connectedness of green bond with financial markets of European countries under OECD economies

Miklesh Yadav (), Nandita Mishra () and Shruti Ashok ()
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Miklesh Yadav: Amity University
Nandita Mishra: Linköping University
Shruti Ashok: Bennett University

Economic Change and Restructuring, 2023, vol. 56, issue 1, No 22, 609-631

Abstract: Abstract This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price of green bonds and selected European stock markets from January 27, 2015, to August 4, 2021. Top ten European countries namely Luxembourg, Switzerland, Norway, Denmark, Germany, Netherlands, Iceland, Austria, Sweden, and Belgium are included within the OECD economies. The study uses Diebold and Yilmaz and Barunik & Krehlic tests to examine the connectedness between the economies and green bonds in short, medium, and long term. Result exhibits volatility across all frequency cycles. Brussel Stock Exchange and Euronext Amsterdam are identified as high-risk markets in the OECD European market. Evidence emerging from this study advocate the inclusion of green bonds in these financial markets for shorter time periods only. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, suggesting incorporation of green bonds in investor portfolio for efficient diversification of risk.

Keywords: Co-movement; Green bonds; OECD countries; Stock market; COVID-19 (search for similar items in EconPapers)
JEL-codes: G10 G11 G19 Q01 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10644-022-09430-3

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