期刊
ENERGY ECONOMICS
卷 74, 期 -, 页码 38-50出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2018.05.030
关键词
Green bonds; Financial markets; Co-movements; Dependence; Price spillovers
类别
资金
- Spanish Ministry of the Economy and Competitiveness - European Regional Development Fund (ERDF/FEDER) [ECO2015-71251-R]
- Xunta de Galicia through the research project titled Consolidacion e Estruturacion [2016 GPC GI-2060]
We examine co-movement between the green bond and financial markets, finding that the green bond market couples with corporate and treasury bond markets and weakly co-moves with stock and energy commodity markets. We also find that green bonds have negligible diversification benefits for investors in corporate and treasury markets, whereas diversification benefits are sizeable for investors in stock and energy markets. We further confirm that green bonds are affected by substantial price spillovers from corporate and treasury fixed income markets and that large price swings in stock and energy markets have a negligible impact on green bond prices. (C) 2018 Elsevier B.V. All rights reserved.
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