Multifractal cross-correlations between green bonds and financial assets

Leonardo H.S. Fernandes, José W.L. Silva, Fernando H.A. de Araujo and Benjamin Tabak

Finance Research Letters, 2023, vol. 53, issue C

Abstract: We analyze multifractality for green bonds, stock sector indices, and US economic sector bonds. Green bonds and US bonds show non-linear cross-correlations. We perform Multifractal Detrended Cross-Correlations Analysis (MF-DCCA) to analyze multifractal cross-correlations and the weak version of the Efficient Market Hypothesis (EMH). Our findings are relevant to academics, financial professionals and the general public. Although green bonds are bonds used exclusively to finance sustainable investments, they are still inefficient assets. We find that bond indices for consumer staples and equity indices for information technology and the real state sector can be used to hedge investments in green bonds.

Keywords: Green bonds; Bond and equity sector indices; Multifractality; Cross-correlation; Complexity (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007796

DOI: 10.1016/j.frl.2022.103603

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