Bouteska, Ahmed and Bhuiyan, Faruk and Sharif, Taimur and Miftah, Badir and Abedin, Mohammad Zoynul (2024) Impact of green bonds on traditional equity markets. Research in International Business and Finance, 73. ISSN 02755319
Full text not available from this repository.Abstract
This study examines the broader U.S. green bond market, with focus on its association with the U.S traditional equity market from 2016–2021. For this purpose, we use the S&P Green Bond Index, the S&P U.S. Aggregate Bond Index, and the S&P 500 to build the connection between the markets based on both univariate generalized autoregressive conditional heteroskedasticity (GARCH) and multivariate vector autoregression (VAR) models. Our empirical results show that the patterns of returns and the volatility behavior of green bonds included significant changes over the years of study. The findings highlight the importance of the emergence and evolution of the promising green bonds market, thus providing useful policy implications for portfolio and risk management as well as asset pricing. This study contributes to a deeper understanding of the impact of green bonds on equity markets.
| Item Type: | Article |
|---|---|
| Additional Information: | ** Article version: VoR ** From Elsevier via Jisc Publications Router ** History: accepted 02-10-2024; epub 07-10-2024; issued 31-01-2025. ** Licence for VoR version of this article starting on 03-10-2024: http://creativecommons.org/licenses/by/4.0/ |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Institutes and Academies > Institute of Management and Health > Business, Finance and Management |
| SWORD Depositor: | JISC Publications Router |
| Depositing User: | JISC Publications Router |
| Date Deposited: | 09 Oct 2024 12:43 |
| Last Modified: | 23 Oct 2024 14:20 |
| URI: | https://repository.uwtsd.ac.uk/id/eprint/3175 |
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