Modelling the mean and volatility spillover between green bond market and renewable energy stock market
In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volati...
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-08-01
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| Series: | Green Finance |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/GF.2022015?viewType=HTML |
| _version_ | 1797962682199965696 |
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| author | Samuel Asante Gyamerah Bright Emmanuel Owusu Ellis Kofi Akwaa-Sekyi |
| author_facet | Samuel Asante Gyamerah Bright Emmanuel Owusu Ellis Kofi Akwaa-Sekyi |
| author_sort | Samuel Asante Gyamerah |
| collection | DOAJ |
| description | In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volatility spillover effects from the green bond market to the renewable energy stock market and vice-versa. The results from the VAR-BEKK-GARCH model indicate that there exists a uni-directional Granger causality from renewable energy stock prices to green bond prices. While the price of green bonds is positively influenced by its own lagged values and the lagged values of renewable energy stock prices,only the past price value of renewable energy stocks has a positive effect on the current price value. We identified a uni-directional volatility spillover from renewable energy stock prices to green bond prices. However,there was no shock spillover from both sides of the market. This research shows that investors in the green bond market should always consider information from the renewable energy stock market because of the causal link between renewable energy stocks and green bonds. |
| first_indexed | 2024-04-11T01:17:47Z |
| format | Article |
| id | doaj.art-d0d7cf7e0d62468d924e2964f746b165 |
| institution | Directory Open Access Journal |
| issn | 2643-1092 |
| language | English |
| last_indexed | 2024-04-11T01:17:47Z |
| publishDate | 2022-08-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Green Finance |
| spelling | doaj.art-d0d7cf7e0d62468d924e2964f746b1652023-01-04T00:56:23ZengAIMS PressGreen Finance2643-10922022-08-014331032810.3934/GF.2022015Modelling the mean and volatility spillover between green bond market and renewable energy stock marketSamuel Asante Gyamerah0Bright Emmanuel Owusu1Ellis Kofi Akwaa-Sekyi21. Department of Statistics and Actuarial Science, Kwame Nkrumah University of Science and Technology, Kumasi-Ghana 2. Laboratory for Interdisciplinary Statistical Analysis – Kwame Nkrumah University of Science and Technology (KNUST-LISA), Kumasi-Ghana3. Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi-Ghana4. Department of Accounting and Finance, Kwame Nkrumah University of Science and Technology, Kumasi-GhanaIn this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volatility spillover effects from the green bond market to the renewable energy stock market and vice-versa. The results from the VAR-BEKK-GARCH model indicate that there exists a uni-directional Granger causality from renewable energy stock prices to green bond prices. While the price of green bonds is positively influenced by its own lagged values and the lagged values of renewable energy stock prices,only the past price value of renewable energy stocks has a positive effect on the current price value. We identified a uni-directional volatility spillover from renewable energy stock prices to green bond prices. However,there was no shock spillover from both sides of the market. This research shows that investors in the green bond market should always consider information from the renewable energy stock market because of the causal link between renewable energy stocks and green bonds.https://www.aimspress.com/article/doi/10.3934/GF.2022015?viewType=HTMLgreen bondsclean energy stockvolatility spilloverclimate changevar-bekk-garchclimate finance |
| spellingShingle | Samuel Asante Gyamerah Bright Emmanuel Owusu Ellis Kofi Akwaa-Sekyi Modelling the mean and volatility spillover between green bond market and renewable energy stock market Green Finance green bonds clean energy stock volatility spillover climate change var-bekk-garch climate finance |
| title | Modelling the mean and volatility spillover between green bond market and renewable energy stock market |
| title_full | Modelling the mean and volatility spillover between green bond market and renewable energy stock market |
| title_fullStr | Modelling the mean and volatility spillover between green bond market and renewable energy stock market |
| title_full_unstemmed | Modelling the mean and volatility spillover between green bond market and renewable energy stock market |
| title_short | Modelling the mean and volatility spillover between green bond market and renewable energy stock market |
| title_sort | modelling the mean and volatility spillover between green bond market and renewable energy stock market |
| topic | green bonds clean energy stock volatility spillover climate change var-bekk-garch climate finance |
| url | https://www.aimspress.com/article/doi/10.3934/GF.2022015?viewType=HTML |
| work_keys_str_mv | AT samuelasantegyamerah modellingthemeanandvolatilityspilloverbetweengreenbondmarketandrenewableenergystockmarket AT brightemmanuelowusu modellingthemeanandvolatilityspilloverbetweengreenbondmarketandrenewableenergystockmarket AT elliskofiakwaasekyi modellingthemeanandvolatilityspilloverbetweengreenbondmarketandrenewableenergystockmarket |