 Can we put green bonds in a single basket?Mobeen Ur Rehman, Neeraj Nautiyal, Rami Zeitun, Xuan Vinh Vo and Mamdouh Abdulaziz Saleh Al-Faryan The North American Journal of Economics and Finance, 2025, vol. 80, issue C Abstract: We examine the correlation between green bond markets of the UK, US, Japan, Canada, Australia, and Europe from 28th November 2008 to 21st May 2021. To measure time-varying correlation, we use extensions of conventional wavelets as wavelet multiple correlation and cross-correlation. Our results suggest sufficient diversification opportunities in the green bonds market because of their recent introduction into the existing asset classes. More specifically, low correlation is reported for UK GBs with Australian Canadian GBs, US GBs with Australian GBs, Japan and Canada, and European GBs with Canadian GBs across all investment periods. We also report non-linear bi-directional causality across the majority of the green bonds market. Our work suggests diversification opportunities by investing in green bonds based on their low time-varying correlation. Keywords: Green bonds; Developed economies; Diversification; Wavelet; Non-linear causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001585 DOI: 10.1016/j.najef.2025.102518 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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