Diversification value of green Bonds: Fresh evidence from China

You Zhou, Lichao Lin and Ziling Huang

The North American Journal of Economics and Finance, 2024, vol. 74, issue C

Abstract: This study conducts a comprehensive analysis of the static correlation between the Chinese green bond market and key capital markets-including the stock, money, foreign exchange, and gold markets—using daily data spanning from 2013 to 2022. Utilizing maximum likelihood estimation methods, our findings indicate that the Student’s t Copula model is the most suitable for capturing these relationships, revealing a relatively low static correlation among these markets. Furthermore, for dynamic dependence analysis and cross-validation, the Student’s t-GAS Copula model is applied, which corroborates the initial findings. Consequently, this suggests that the Chinese green bond market could become one of the potentially diversification options for investing in the Chinese financial landscape.

Keywords: China; Copula; Financial market; Green bonds; Diversification (search for similar items in EconPapers)
JEL-codes: C32 G10 Q50 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001797

DOI: 10.1016/j.najef.2024.102254

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