气候变化领域集成服务门户(CCPortal): Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19

CCPortal

DOI	10.1016/j.enpol.2022.113102
	Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19
	Arif, Muhammad; Naeem, Muhammad Abubakr; Farid, Saqib; Nepal, Rabindra; Jamasb, Tooraj
发表日期	2022
ISSN	0301-4215
EISSN	1873-6777
卷号	168 页码:18
英文摘要	Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We employ the cross-quantilogram approach to understand better the dynamic relationship between two assets under different market conditions. Our full sample results reveal that the green bond index could serve as a diversifier asset for medium- and long-term equity investors. Besides, it can serve as a hedging and safe-haven instrument for currency and commodity investments. Moreover, the sub-sample analysis of the pandemic period shows a heightened short- and medium-term lead-lag association between the green bond index and conventional investment returns. However, the green bond index emerges as a significant hedging and safe-haven asset for long-term investors of conventional financial assets. Our findings offer valuable insights for long-term investors when their portfolios are comprised of conventional assets such as equities, commodities, forex, and fixed income securities. Further, our findings reveal the potential role of green bond investments in global financial recovery efforts without compromising the low-carbon transition targets.
英文关键词	Green bonds; Hedge; Safe-haven; Cross-quantilogram; COVID-19
学科领域	Economics; Energy & Fuels; Environmental Sciences; Environmental Studies
语种	英语
WOS研究方向	Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology
WOS记录号	WOS:000838125800001
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/272428
作者单位	United Arab Emirates University; South Ural State University; University of Management & Technology (UMT); University of Wollongong; Copenhagen Business School
推荐引用方式 GB/T 7714	Arif, Muhammad,Naeem, Muhammad Abubakr,Farid, Saqib,et al. Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19[J],2022,168:18.
APA	Arif, Muhammad,Naeem, Muhammad Abubakr,Farid, Saqib,Nepal, Rabindra,&Jamasb, Tooraj.(2022).Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19.ENERGY POLICY,168,18.
MLA	Arif, Muhammad,et al."Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19".ENERGY POLICY 168(2022):18.