Market Efficiency and Volatility Persistence of Green Investments Before and During the COVID-19 Pandemic

Olaoluwa Yaya, Rafiu Akano and Oluwasegun Adekoya ()

Asian Economics Letters, 2023, vol. 4, issue 1, 1-6

Abstract: Using a nonlinear framework with Chebyshev polynomial in time, we investigate the market efficiency and volatility persistence of five green investments before and during the COVID-19 pandemic. Our results show that, except for the MSCI global green building index, green investments are more efficient and exhibit higher volatility persistence before the crisis, as compared to the crisis period. Thus, green investors are likely to make arbitrage profits during the pandemic.

Keywords: Green investment; Volatility persistence; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C22 Q47 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Working Paper: Market efficiency and Volatility persistence of green investments before and during COVID-19 pandemic (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnael:86

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