Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change
After the signing of the Paris Agreement, countries around the world paid more attention to climate change and made more efforts to enact policies. Under the dual pressure of policy and environment, each market is affected to different degrees. At the same time, as a new environmental protection too...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2023-01-01
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| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2022.1109796/full |
| _version_ | 1797955324797255680 |
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| author | Lijun Gao Kun Guo Kun Guo Kun Guo Xianhua Wei Xianhua Wei |
| author_facet | Lijun Gao Kun Guo Kun Guo Kun Guo Xianhua Wei Xianhua Wei |
| author_sort | Lijun Gao |
| collection | DOAJ |
| description | After the signing of the Paris Agreement, countries around the world paid more attention to climate change and made more efforts to enact policies. Under the dual pressure of policy and environment, each market is affected to different degrees. At the same time, as a new environmental protection tool, the green bond rose to prominence, causing a shock to various markets, but also has a certain hedging role. However, there are few studies on the dynamic co-movement and risk spillover effect between green bonds and stock markets, crude oil and gold in the existing literature. Therefore, it is necessary to explore the changes in the relationship between various markets for the reasonable avoidance of climate risks. Based on the relationship between the three green investment instruments (S&P green Bond, China Green Bond and climate bond) and the three markets, this paper adds the impact analysis on climate risk and policy risk. The conclusions obtained not only have guiding significance for investors interested in environmental protection in asset allocation and hedge selection, but also have reference significance for policymakers who want to realize green investment, which helps smooth the transition to a low-carbon economy. |
| first_indexed | 2024-04-10T23:31:19Z |
| format | Article |
| id | doaj.art-ff39593cc0424f1585930de379fa87cb |
| institution | Directory Open Access Journal |
| issn | 2296-665X |
| language | English |
| last_indexed | 2024-04-10T23:31:19Z |
| publishDate | 2023-01-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Environmental Science |
| spelling | doaj.art-ff39593cc0424f1585930de379fa87cb2023-01-12T06:25:06ZengFrontiers Media S.A.Frontiers in Environmental Science2296-665X2023-01-011010.3389/fenvs.2022.11097961109796Dynamic relationship between green bonds and major financial asset markets from the perspective of climate changeLijun Gao0Kun Guo1Kun Guo2Kun Guo3Xianhua Wei4Xianhua Wei5School of Economics and Management, University of Chinese Academy of Sciences, Beijing, ChinaSchool of Economics and Management, University of Chinese Academy of Sciences, Beijing, ChinaKey Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing, ChinaResearch Center on Fictitious Economy & Data Science, Chinese Academy of Sciences, Beijing, ChinaSchool of Economics and Management, University of Chinese Academy of Sciences, Beijing, ChinaResearch Center on Fictitious Economy & Data Science, Chinese Academy of Sciences, Beijing, ChinaAfter the signing of the Paris Agreement, countries around the world paid more attention to climate change and made more efforts to enact policies. Under the dual pressure of policy and environment, each market is affected to different degrees. At the same time, as a new environmental protection tool, the green bond rose to prominence, causing a shock to various markets, but also has a certain hedging role. However, there are few studies on the dynamic co-movement and risk spillover effect between green bonds and stock markets, crude oil and gold in the existing literature. Therefore, it is necessary to explore the changes in the relationship between various markets for the reasonable avoidance of climate risks. Based on the relationship between the three green investment instruments (S&P green Bond, China Green Bond and climate bond) and the three markets, this paper adds the impact analysis on climate risk and policy risk. The conclusions obtained not only have guiding significance for investors interested in environmental protection in asset allocation and hedge selection, but also have reference significance for policymakers who want to realize green investment, which helps smooth the transition to a low-carbon economy.https://www.frontiersin.org/articles/10.3389/fenvs.2022.1109796/fullgreen bondclimate changeDCC-GARCHtime-varying dynamic correlationethical investors |
| spellingShingle | Lijun Gao Kun Guo Kun Guo Kun Guo Xianhua Wei Xianhua Wei Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change Frontiers in Environmental Science green bond climate change DCC-GARCH time-varying dynamic correlation ethical investors |
| title | Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change |
| title_full | Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change |
| title_fullStr | Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change |
| title_full_unstemmed | Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change |
| title_short | Dynamic relationship between green bonds and major financial asset markets from the perspective of climate change |
| title_sort | dynamic relationship between green bonds and major financial asset markets from the perspective of climate change |
| topic | green bond climate change DCC-GARCH time-varying dynamic correlation ethical investors |
| url | https://www.frontiersin.org/articles/10.3389/fenvs.2022.1109796/full |
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