Can green bonds be a safe haven for equity investors?
Thomas Flavin and
Lisa Sheenan
International Journal of Finance & Economics, 2025, vol. 30, issue 3, 2270-2283
Abstract:
We investigate if green bonds can act as a safe‐haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (The Review of Financial Studies, 30(1), pp. 2–47, 2017) and by comparing the regime‐dependent GIRFs from a Markov‐switching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe‐haven asset during all regimes except during rare periods of extreme turbulence.
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
https://doi.org/10.1002/ijfe.3015
Related works:
Working Paper: Can Green Bonds be a Safe Haven for Equity Investors? (2023) 
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:wly:ijfiec:v:30:y:2025:i:3:p:2270-2283
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().