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Impact of green bonds on traditional equity markets

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journal contribution
posted on 2024-10-16, 11:11 authored by Ahmed Bouteska, Faruk BhuiyanFaruk Bhuiyan, Taimur Sharif, Badir Miftah, Mohammad Zoynul Abedin

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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Research in International Business and Finance

ISSN

0275-5319

Publisher

Elsevier BV

Volume

73

Article number

102606

Department affiliated with

  • Business and Management Publications
  • Accounting and Finance Publications

Institution

University of Sussex

Full text available

  • Yes

Peer reviewed?

  • Yes