Are Green Bonds a Good Investment Opportunity for Turbulent Times?
Theoretical background: The green bonds market is growing rapidly and serving as a source of financing for energy transition, social impact investments, green economy transition, and climate change mitigation projects. It is also an interesting alternative investment opportunity for increasingly con...
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| Format: | Article |
| Language: | English |
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Maria Curie-Skłodowska University, Lublin, Poland
2023-06-01
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| Series: | Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia |
| Subjects: | |
| Online Access: | https://journals.umcs.pl/h/article/view/14948 |
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| author | Karolina Daszyńska-Żygadło Jakub Marszałek Krzysztof Piontek Ilze Zumente |
| author_facet | Karolina Daszyńska-Żygadło Jakub Marszałek Krzysztof Piontek Ilze Zumente |
| author_sort | Karolina Daszyńska-Żygadło |
| collection | DOAJ |
| description | Theoretical background: The green bonds market is growing rapidly and serving as a source of financing for energy transition, social impact investments, green economy transition, and climate change mitigation projects. It is also an interesting alternative investment opportunity for increasingly conscious investors. Researchers are studying the green bonds market from several perspectives, among others they search for premiums for being green – greenium; they analyse the interconnectedness of conventional and green bonds markets in the search for portfolio diversification opportunities and they consider the usefulness of green bonds in the times of market crisis or turbulences as hedging strategies instruments.
Purpose of the article: The purpose of this article is to verify the nature and direction of the relationship between green bonds markets and conventional bonds markets, as well as its permanence during market shocks.
Research methods: Our analysis is based on rates of returns from green bonds indices and their respective counterparts in the period between January 2015 and April 2021, we used conditional volatility and dynamic conditional correlation with multivariate Gaussian and T-Student distributions.
Main findings: We found similar patterns of behaviour between green and conventional bonds markets, but the green bonds market is riskier than the non-green one and the risk relationship of both bond markets is changing. Our research results lead to the conclusion that investors are more prone to flee from the green bond market and stay in the conventional bond market in times of market shocks such as the outburst of COVID-19 pandemic. |
| first_indexed | 2024-03-12T21:33:53Z |
| format | Article |
| id | doaj.art-c4df042424ba42058bbbd7253d66e711 |
| institution | Directory Open Access Journal |
| issn | 0459-9586 |
| language | English |
| last_indexed | 2024-03-12T21:33:53Z |
| publishDate | 2023-06-01 |
| publisher | Maria Curie-Skłodowska University, Lublin, Poland |
| record_format | Article |
| series | Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia |
| spelling | doaj.art-c4df042424ba42058bbbd7253d66e7112023-07-27T13:12:14ZengMaria Curie-Skłodowska University, Lublin, PolandAnnales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia0459-95862023-06-0157272510.17951/h.2023.57.2.7-2510172Are Green Bonds a Good Investment Opportunity for Turbulent Times?Karolina Daszyńska-Żygadło0Jakub Marszałek1Krzysztof Piontek2Ilze Zumente3Wrocław University of Economics and Business. Faculty of Economics and FinanceUniversity of Łódź. Faculty of ManagementWrocław University of Economics and Business. Faculty of Economics and FinanceRiga Technical University. Faculty of Engineering Economics and ManagementTheoretical background: The green bonds market is growing rapidly and serving as a source of financing for energy transition, social impact investments, green economy transition, and climate change mitigation projects. It is also an interesting alternative investment opportunity for increasingly conscious investors. Researchers are studying the green bonds market from several perspectives, among others they search for premiums for being green – greenium; they analyse the interconnectedness of conventional and green bonds markets in the search for portfolio diversification opportunities and they consider the usefulness of green bonds in the times of market crisis or turbulences as hedging strategies instruments. Purpose of the article: The purpose of this article is to verify the nature and direction of the relationship between green bonds markets and conventional bonds markets, as well as its permanence during market shocks. Research methods: Our analysis is based on rates of returns from green bonds indices and their respective counterparts in the period between January 2015 and April 2021, we used conditional volatility and dynamic conditional correlation with multivariate Gaussian and T-Student distributions. Main findings: We found similar patterns of behaviour between green and conventional bonds markets, but the green bonds market is riskier than the non-green one and the risk relationship of both bond markets is changing. Our research results lead to the conclusion that investors are more prone to flee from the green bond market and stay in the conventional bond market in times of market shocks such as the outburst of COVID-19 pandemic.https://journals.umcs.pl/h/article/view/14948sustainable financegreen bondspandemiccovid-19hedging |
| spellingShingle | Karolina Daszyńska-Żygadło Jakub Marszałek Krzysztof Piontek Ilze Zumente Are Green Bonds a Good Investment Opportunity for Turbulent Times? Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia sustainable finance green bonds pandemic covid-19 hedging |
| title | Are Green Bonds a Good Investment Opportunity for Turbulent Times? |
| title_full | Are Green Bonds a Good Investment Opportunity for Turbulent Times? |
| title_fullStr | Are Green Bonds a Good Investment Opportunity for Turbulent Times? |
| title_full_unstemmed | Are Green Bonds a Good Investment Opportunity for Turbulent Times? |
| title_short | Are Green Bonds a Good Investment Opportunity for Turbulent Times? |
| title_sort | are green bonds a good investment opportunity for turbulent times |
| topic | sustainable finance green bonds pandemic covid-19 hedging |
| url | https://journals.umcs.pl/h/article/view/14948 |
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