Correlation and price spillover effects among green assets

Aviral Kumar Tiwari (), Satish Kumar () and Emmanuel Joel Aikins Abakah ()
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Aviral Kumar Tiwari: Indian Institute of Management Bodh Gaya
Satish Kumar: IBS Hyderabad (The ICFAI Foundation for Higher Education)
Emmanuel Joel Aikins Abakah: Accra Ghanaand Universiti Sultan Zainal Abidin

Annals of Operations Research, 2025, vol. 347, issue 1, No 17, 419-444

Abstract: Abstract This paper examines the spillover effects, connectedness and correlation among eco-friendly asset classes using robust estimation techniques such as rolling window wavelet correlation, multiscale quantile correlation coefficient and quantile VAR approaches. Specifically, the eco-friendly assets examined include the S&P Green Bond Select Index Price Index, the S&P Green Bond Index Price Index and the Dow Jones Sustainability Index World Price Index. Additional variables include the constituents of the MSCI Global Environment Price Index: Alternative Energy, Green Building, and Pollution Prevention or Clean Technology. We use daily returns from August 31, 2010, to January 13, 2022. Our results confirm that green bond indices offer opportunities for diversification across varying quantiles and time scales when paired with green stocks. Results confirm that investors can exploit the hedging and safe-haven potential of green bonds against green stocks in times of turbulent market.

Keywords: Green bonds; Green stocks; Sustainability; Dependence; Systemic risk; Correlation (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10479-024-06154-7

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