Green Bonds Capital Returns: The Impact of Market and Macroeconomic Variables

Alessandra Ortolano () and Eliana Angelini
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Alessandra Ortolano: D’Annunzio University of Chieti-Pescara
Eliana Angelini: D’Annunzio University of Chieti-Pescara

Chapter Chapter 4 in Contemporary Issues in Sustainable Finance, 2021, pp 91-116 from Palgrave Macmillan

Abstract: Abstract This chapter is an investigation on the determinants of Green Bonds capital returns, with a focus on market and macroeconomic variables. These instruments are showing an exponential growth, as tested by Initiative Climate Bonds. In our study we observe Borsa Italiana market over the period 2016–2019, adopting Arellano–Bond dynamic panel regressions. Our results state peculiarities, like the negative autocorrelation or the lacking influence of stock market. We highlight that in times of unusual turbulence, green bonds are exposed to market volatility like conventional ones. Definitively, since recent research has shown the deep impact of market and macroeconomic variables on the latter, our aim is investigating if the same trend deals with Green Bonds or if there are some specificities.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:pal:psifcp:978-3-030-65133-6_4

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DOI: 10.1007/978-3-030-65133-6_4

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