Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds

Thi Thu Ha Nguyen, Muhammad Abubakr Naeem, Faruk Balli, Hatice Balli and Xuan Vinh Vo

Finance Research Letters, 2021, vol. 40, issue C

Abstract: The paper examines the inter-relationship between green bonds and other asset markets, including stocks, commodities, clean energy, and conventional bonds over 11 years from 2008 to 2019. The dynamic features of correlation across asset pairs over time and in different frequencies are assessed through the rolling window wavelet correlation approach. We find strong evidence that most correlation emerged and reached a peak in the aftermath of GFC 2007-2009. While comovement among stocks, commodities, and clean energy is found relatively high, the diversification benefit of green bonds is significantly revealed due to its low or negative correlation with stocks and commodities.

Keywords: Green bonds; Wavelet; Time-frequency comovement; Diversification (search for similar items in EconPapers)
JEL-codes: G10 G11 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (120)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320304207

DOI: 10.1016/j.frl.2020.101739

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