Work

Multifractal dynamic conditional correlation analysis of green bonds and regional clean energy equities

Year: 2026

Type: article

Abstract: This study employs the MultiFractal Dynamic Conditional Correlation (MF-DCC) model, incorporating three regional clean indices (US, Europe, and Asia) alongside the SP500 green bonds, to address the following research question: How does the correlation between green bonds (GBs) and clean energy (CE) equities behave and fluctuate across different market cycles and time horizons (short-term vs. long-term)? We show that there is a power law cross-correlation between green bonds and the three regional clean energy indices (the US, Europe, and Asia). Furthermore, multifractality was observed in all pairs that climb during bullish market conditions. These findings were available both before and after the COVID-19 pandemic. Thus, when creating environmentally friendly portfolios and assuring a shift from traditional to climate-resilient economies, investors and governments should consider the non-linear structure in the interaction between green bonds and clean stock markets.

Source: Discover Sustainability

DOI: 10.1007/s43621-026-02750-8

Authors: Nader Trabelsi, Aviral Tiwari, Monia Chikhaoui, Amel Ketata

Institutions: Imam Mohammad ibn Saud Islamic University, Indian Institute of Management Bodh Gaya, Tunis University, University of Sfax, Faculty of Economics and Management of Sfax

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Climate action

Open Access status: gold

Estimated APC paid: $1,390