Dynamics of green and conventional bond markets: Evidence from the generalized chaos analysis

Markus Vogl, Milena Kojić and Petar Mitić

Physica A: Statistical Mechanics and its Applications, 2024, vol. 633, issue C

Abstract: In this study, we conduct a comparative analysis of the nonlinear dynamics of the time series data for green and conventional bond indices spanning the period from 2014 to 2023. Our research builds upon the existing limited studies conducted in this domain. To examine the inherent characteristics of the empirical data-generating process, we utilize a generalized chaos analysis framework. The findings indicate that both series exhibit a combination of quasi-periodic cycles and deterministic (chaotic) dynamics. Additionally, we employ reconstruction techniques to visualize the strange (fractal) system attractors for both series. Furthermore, we quantify and compare the dynamics that emerge from the data by employing recurrence quantification analysis and multifractal analysis with power-law distributional coherence tests. Consequently, we identify that both bond series exhibit multifractal characteristics. Finally, we conduct a comparative analysis of the distinct dynamical differences observed between the bond index series. Based on our results, we draw concluding remarks regarding the future evolution of the green bond market and discuss the potential implications of our findings in the context of climate change.

Keywords: Green bonds versus conventional bonds; Chaos analysis framework; Strange (fractal) attractor reconstruction; Multifractal analysis; Power-law distribution coherence test; Green bond market dynamics; Climate change implications (search for similar items in EconPapers)
JEL-codes: C01 C02 C22 G1 Q5 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:633:y:2024:i:c:s0378437123009524

DOI: 10.1016/j.physa.2023.129397

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