期刊
ENERGY ECONOMICS
卷 111, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.eneco.2022.106068
关键词
Green equity; Green bonds; Geopolitical risks; Cross-quantilogram
类别
资金
- Russian Science foundation, RSF [19-18-00262]
The study finds that geopolitical risks have different impacts on the green equity and green bond markets. In bullish market states, measures of geopolitical risks have a negative effect on the volatility of the green market, while in bearish market states, measures of geopolitical risks have a positive effect on the volatility of the green market.
The growth of clean energies and technologies requires a sound financial market, while equity and bond markets are exposed to geopolitical risks. We investigate the response of green equity and green bonds to newly develop decomposed measures of geopolitical risks, including geopolitical acts, threats, and narrow and broad measures. To this end, we apply two robust methods; namely, the cross-quantilogram and quantile and quantile (QQ) approaches, to estimate the conditional and unconditional volatility spillovers considering short, medium, and long term. Surprisingly our empirical investigation demonstrates that all measures of geopolitical risk (except geopolitical acts) transmit positive shocks to the green investments (both equity and bonds) from bearish to bullish market states. At the bullish state, green markets respond negatively to the highest quantiles of all measures of geopolitical risks under a long memory. However, the geopolitical acts negatively shock the green bonds and green equity at some extreme quantiles. Our empirical findings are beneficial by transmitting opportunities and preventing risks for investment decision-making in the green markets, considering geopolitical risks.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据