Dynamic connectedness of green bond with financial markets of European countries under OECD economies
This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price of green bonds and selected European stock markets from January 27, 2015, to August 4, 2021. Top ten European countries namely Luxembourg, Switzer...
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Linköpings universitet, Fackspråk
2023
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Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-187621 https://doi.org/10.1007/s10644-022-09430-3 |
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ftlinkoepinguniv:oai:DiVA.org:liu-187621 2023-11-12T04:19:19+01:00 Dynamic connectedness of green bond with financial markets of European countries under OECD economies Yadav, Miklesh Mishra, Nandita Ashok, Shruti 2023 application/pdf http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-187621 https://doi.org/10.1007/s10644-022-09430-3 eng eng Linköpings universitet, Fackspråk Linköpings universitet, Filosofiska fakulteten Amity Univ, India Bennett Univ, India Economic Change and Restructuring, 1573-9414, 2023, 56, s. 609-631 orcid:0000-0001-9725-9761 http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-187621 doi:10.1007/s10644-022-09430-3 ISI:000841052300001 info:eu-repo/semantics/openAccess Co-movement Green bonds OECD countries Stock market COVID-19 Social Sciences Samhällsvetenskap Article in journal info:eu-repo/semantics/article text 2023 ftlinkoepinguniv https://doi.org/10.1007/s10644-022-09430-3 2023-11-01T23:32:21Z This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price of green bonds and selected European stock markets from January 27, 2015, to August 4, 2021. Top ten European countries namely Luxembourg, Switzerland, Norway, Denmark, Germany, Netherlands, Iceland, Austria, Sweden, and Belgium are included within the OECD economies. The study uses Diebold and Yilmaz and Barunik & Krehlic tests to examine the connectedness between the economies and green bonds in short, medium, and long term. Result exhibits volatility across all frequency cycles. Brussel Stock Exchange and Euronext Amsterdam are identified as high-risk markets in the OECD European market. Evidence emerging from this study advocate the inclusion of green bonds in these financial markets for shorter time periods only. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, suggesting incorporation of green bonds in investor portfolio for efficient diversification of risk. Funding: Linkoping University Article in Journal/Newspaper Iceland LIU - Linköping University: Publications (DiVA) Norway Economic Change and Restructuring |
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Open Polar |
collection |
LIU - Linköping University: Publications (DiVA) |
op_collection_id |
ftlinkoepinguniv |
language |
English |
topic |
Co-movement Green bonds OECD countries Stock market COVID-19 Social Sciences Samhällsvetenskap |
spellingShingle |
Co-movement Green bonds OECD countries Stock market COVID-19 Social Sciences Samhällsvetenskap Yadav, Miklesh Mishra, Nandita Ashok, Shruti Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
topic_facet |
Co-movement Green bonds OECD countries Stock market COVID-19 Social Sciences Samhällsvetenskap |
description |
This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price of green bonds and selected European stock markets from January 27, 2015, to August 4, 2021. Top ten European countries namely Luxembourg, Switzerland, Norway, Denmark, Germany, Netherlands, Iceland, Austria, Sweden, and Belgium are included within the OECD economies. The study uses Diebold and Yilmaz and Barunik & Krehlic tests to examine the connectedness between the economies and green bonds in short, medium, and long term. Result exhibits volatility across all frequency cycles. Brussel Stock Exchange and Euronext Amsterdam are identified as high-risk markets in the OECD European market. Evidence emerging from this study advocate the inclusion of green bonds in these financial markets for shorter time periods only. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, suggesting incorporation of green bonds in investor portfolio for efficient diversification of risk. Funding: Linkoping University |
format |
Article in Journal/Newspaper |
author |
Yadav, Miklesh Mishra, Nandita Ashok, Shruti |
author_facet |
Yadav, Miklesh Mishra, Nandita Ashok, Shruti |
author_sort |
Yadav, Miklesh |
title |
Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
title_short |
Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
title_full |
Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
title_fullStr |
Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
title_full_unstemmed |
Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
title_sort |
dynamic connectedness of green bond with financial markets of european countries under oecd economies |
publisher |
Linköpings universitet, Fackspråk |
publishDate |
2023 |
url |
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-187621 https://doi.org/10.1007/s10644-022-09430-3 |
geographic |
Norway |
geographic_facet |
Norway |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
Economic Change and Restructuring, 1573-9414, 2023, 56, s. 609-631 orcid:0000-0001-9725-9761 http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-187621 doi:10.1007/s10644-022-09430-3 ISI:000841052300001 |
op_rights |
info:eu-repo/semantics/openAccess |
op_doi |
https://doi.org/10.1007/s10644-022-09430-3 |
container_title |
Economic Change and Restructuring |
_version_ |
1782335788225134592 |