Price discovery of climate risk and green bonds: A dynamic information leadership share approach

Hou, Yang (Greg), Danyang Xu, Les Oxley and John W. Goodell

Finance Research Letters, 2024, vol. 69, issue PB

Abstract: This study investigates the price discovery of a novel stock market climate risk indicator, measured by the Morgan Stanley Capital International Climate Change Index (MSCI CCI) and global green bond indices. A time-varying information leadership share (ILS) measure assesses dynamic price discovery performance of the MSCI CCI and green bonds. We find that the MSCI CCI index dominates in the price discovery process in terms of time-varying ILS, despite the static result indicating the opposite. Further, the outbreak of the COVID-19 pandemic had restrictively positive effects on price discovery as the crisis progressed.

Keywords: Price discovery; Green bonds; Climate risk; Information leadership share; VEC-DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: C32 C58 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324011279
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011279

DOI: 10.1016/j.frl.2024.106098

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().