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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ftpubmed:oai:pubmedcentral.nih.gov:9379232 2023-05-15T16:49:44+02:00 Dynamic connectedness of green bond with financial markets of European countries under OECD economies Yadav, Miklesh Mishra, Nandita Ashok, Shruti 2022-08-16 http://www.ncbi.nlm.nih.gov/pmc/articles/PMC9379232/ https://doi.org/10.1007/s10644-022-09430-3 en eng Springer US http://www.ncbi.nlm.nih.gov/pmc/articles/PMC9379232/ http://dx.doi.org/10.1007/s10644-022-09430-3 © The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) . CC-BY Econ Change Restruct Article Text 2022 ftpubmed https://doi.org/10.1007/s10644-022-09430-3 2022-08-21T00:47:33Z 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. Text Iceland PubMed Central (PMC) Norway Economic Change and Restructuring |
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Article Yadav, Miklesh Mishra, Nandita Ashok, Shruti Dynamic connectedness of green bond with financial markets of European countries under OECD economies |
topic_facet |
Article |
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. |
format |
Text |
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 |
Springer US |
publishDate |
2022 |
url |
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC9379232/ https://doi.org/10.1007/s10644-022-09430-3 |
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Norway |
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Norway |
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genre_facet |
Iceland |
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Econ Change Restruct |
op_relation |
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC9379232/ http://dx.doi.org/10.1007/s10644-022-09430-3 |
op_rights |
© The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) . |
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https://doi.org/10.1007/s10644-022-09430-3 |
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Economic Change and Restructuring |
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