Work

Volatility Spillovers between Equity and Green Bond Markets

Year: 2020

Type: article

Abstract: This study examines the market for green bonds, which have been in the spotlight as an eco-friendly investment product. We analyze the volatility dynamics and spillovers between the equity and green bond markets. As the return dynamics of financial products typically exhibit asymmetric volatility, we check whether green bonds also share this property. Our analyses confirm that although green bonds do exhibit the asymmetric volatility phenomenon, their volatility, unlike that of equity, is also sensitive to positive return shocks. An analysis of the association between the green bond and equity markets confirms that although the two markets have some volatility spillover effects, neither responds significantly to negative shocks in the other market.

Source: Sustainability

DOI: 10.3390/su12093722

Authors: Daehyeon Park, Jiyeon Park, Doojin Ryu

Institution: Sungkyunkwan University

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,901

Funders: National Research Foundation, Sungkyunkwan University, National Research Foundation of Korea, Ministry of Science and ICT, South Korea