气候变化领域集成服务门户(CCPortal): Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis

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DOI	10.1016/j.enpol.2021.112285
	Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis
	Naeem M.A.; Farid S.; Ferrer R.; Shahzad S.J.H.
发表日期	2021
ISSN	03014215
卷号	153
英文摘要	Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bond markets significantly escalated during the COVID-19 outbreak. Furthermore, our results indicate a higher level of efficiency of the conventional bond market over the full sample period. However, the green bond market is more efficient during a black swan event, such as the COVID-19 global pandemic, showing the potential of green bonds to become an effective diversifier for investors in traditional assets in times of extreme market turmoil. The results of the study can have important implications for investors and policymakers. © 2021 Elsevier Ltd
关键词	Asymmetric multifractality Conventional bonds COVID-19 pandemic Green bonds Price efficiency
英文关键词	Commerce; Financial markets; Fractals; Investments; Asymmetric multifractality; Comparative efficiencies; Conventional bond; COVID-19 pandemic; Fixed income securities; Green bond; Multifractal analysis; Multifractal detrended fluctuation analysis; Multifractal scaling; Price efficiency; Efficiency; asymmetry; comparative study; COVID-19; disease incidence; efficiency measurement; environmental economics; green economy; investment; policy making; price dynamics; Cygnus atratus
语种	英语
来源期刊	Energy Policy
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/205269
作者单位	UCD College of Business, University College Dublin, Ireland; School of Business and Economics, University of Management and Technology, Pakistan; Department of Financial and Actuarial Economics, University of Valencia, Spain; Montpellier Business School, University of Montpellier, Montpellier Research in Management, Montpellier, France; South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation
推荐引用方式 GB/T 7714	Naeem M.A.,Farid S.,Ferrer R.,et al. Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis[J],2021,153.
APA	Naeem M.A.,Farid S.,Ferrer R.,&Shahzad S.J.H..(2021).Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis.Energy Policy,153.
MLA	Naeem M.A.,et al."Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis".Energy Policy 153(2021).