Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets

Muhammad Abubakr Naeem, Sitara Karim, Gazi Uddin and Juha Junttila

International Review of Financial Analysis, 2022, vol. 83, issue C

Abstract: We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some ‘big pond’ markets for e.g. commodities, whereas some others affect the connectedness negatively. Additional analysis of financial and economic uncertainty indicators manifests positive impacts from the volatility of some ‘big pond’ markets, e.g., commodities, while others negatively affect the connectedness.

Keywords: Green markets; US sectors; Commodities; Connectedness; Time-frequency (search for similar items in EconPapers)
JEL-codes: C22 C58 G01 G11 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002393

DOI: 10.1016/j.irfa.2022.102283

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