Modelling the mean and volatility spillover between green bond market and renewable energy stock market

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...

Full description

Bibliographic Details
Main Authors:	Samuel Asante Gyamerah, Bright Emmanuel Owusu, Ellis Kofi Akwaa-Sekyi
Format:	Article
Language:	English
Published:	AIMS Press 2022-08-01
Series:	Green Finance
Subjects:	green bonds clean energy stock volatility spillover climate change var-bekk-garch climate finance
Online Access:	https://www.aimspress.com/article/doi/10.3934/GF.2022015?viewType=HTML

Similar Items

Volatility spillovers between the European and South African foreign exchange markets
by: Olivier Niyitegeka, et al.
Published: (2020-01-01)

Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
by: Selçuk BAYRACI
Published: (2018-09-01)

VOLATILITY SPILLOVER EFFECTS IN THE EXTRA VIRGIN OLIVE OIL MARKETS OF THE MEDITERRANEAN
by: Dimitrios Panagiotou
Published: (2015-07-01)

Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets
by: Sangeetha G Nagarakatte, et al.
Published: (2022-08-01)

Financial Volatility Spillover in COVID-19 Pandemic Period: Evidence from the US and ASEAN Stock Market
by: Rifki Nurfaiz, et al.
Published: (2022-02-01)

Return and volatility spillover across equity markets between China and Southeast Asian countries
by: Ngo Thai Hung
Published: (2019-06-01)

The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach
by: Vahid Dehbashi, et al.
Published: (2020-06-01)

Market volatility and spillover across 24 sectors in Vietnam
by: Hung Quang Bui, et al.
Published: (2022-12-01)

Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis
by: Aswini Kumar Mishra, et al.
Published: (2022-12-01)

Does volatility traverse between emerging and frontier stock markets of Asia?
by: Velip Suraj Pavto, et al.
Published: (2020-09-01)

Analysis of volatility spillover in African stock markets: Evidence from Nigeria, Ghana and South Africa
by: Peter Ali
Published: (2022-02-01)

Analyzing The Covid-19 Pandemic of Volatility Spillover Influence the Collaboration of Foreign and Indian Stock Markets
by: Runumi Das, et al.
Published: (2022-06-01)

Analysis of meat price volatility and volatility spillovers in Finland
by: Marwa Ben Abdallah, et al.
Published: (2020-02-01)

Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets
by: Ajab A. Alfreedi
Published: (2019-12-01)

Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth
by: Qianqian Wang, et al.
Published: (2023-12-01)

Research on the Spillover Effect of China’s Carbon Market from the Perspective of Regional Cooperation
by: Jing Liu, et al.
Published: (2023-01-01)

Return and volatility spillover between India, UK, USA and European stock markets: The Brexit impact
by: Sangeetha G Nagarakatte, et al.
Published: (2022-02-01)

The implication of cryptocurrency volatility on five largest African financial system stability
by: Tonuchi E. Joseph, et al.
Published: (2024-01-01)

The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets
by: Nasser Khiabani, et al.
Published: (2014-03-01)

Volatility spillover among the sectors of emerging and developed markets: a hedging perspective
by: Satyaban Sahoo, et al.
Published: (2024-12-01)

Volatility spillovers between ethanol and corn prices: A Bayesian analysis
by: Siraprapa Yosthongngam, et al.
Published: (2022-11-01)

Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
by: Martin Martin, et al.
Published: (2010-05-01)

Volatility spillover and dynamic correlation between the carbon market and energy markets
by: Yufeng Chen, et al.
Published: (2019-08-01)

Spillover Effect of Network Public Opinion on Market Prices of Small-Scale Agricultural Products
by: Xingchen Lv, et al.
Published: (2024-02-01)

Bidirectional spillover effect between Russian stock index and the selected commodities
by: Dejan Živkov, et al.
Published: (2018-06-01)

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
by: Lidija Dedi, et al.
Published: (2016-12-01)

Volatility spillovers under difference in the degree of market integration: Evidence from the selected Asian and Eastern European stock markets
by: Harjum Muharam, et al.
Published: (2019-03-01)

A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk
by: Kirkpinar Ayşegül, et al.
Published: (2023-01-01)

Volatility and Spillover Effects between Central–Eastern European Stock Markets and Energy Markets: An Emphasis on Crisis Periods
by: Octavian Jude, et al.
Published: (2023-08-01)

Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach
by: Mohini GUPTA, et al.
Published: (2021-12-01)

The Volatility and Shock Transmission Patterns Between the BIST Sustainability and BIST 100 Indices
by: Ender Baykut, et al.
Published: (2019-10-01)

Kripto Para Piyasasının Borsa İstanbul Endeksleri Üzerindeki Etkileri
by: Bekir Tamer Gökalp
Published: (2022-06-01)

Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach
by: Hossein Tavakolian, et al.
Published: (2016-12-01)

Volatility Transmission of Barley World Price to the Domestic Market of Iran and the Role of Iran Mercantile Exchange; an Application of BEKK Model
by: Behzad Fakari Sardahaie, et al.
Published: (2019-09-01)

Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach
by: Dahiru A. Bala, et al.
Published: (2017-03-01)

Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China
by: Chia-Lin Chang, et al.
Published: (2019-04-01)

Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States
by: Hassan Mohammadi, et al.
Published: (2015-04-01)

Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets
by: Theodosios Perifanis, et al.
Published: (2018-10-01)

VOLATILITIES AND TRENDS OF GARLIC PRICE BEFORE AND ENTERING THE COVID-19 PANDEMIC IN NTT
by: Nendissa D.R., et al.
Published: (2020-09-01)

Testing the volatility spillover between crude oil price and the U.S. stock market returns
by: Mehmet Kondoz, et al.
Published: (2019-05-01)