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Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds

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Listed:
  • Nguyen, Thi Thu Ha
  • Naeem, Muhammad Abubakr
  • Balli, Faruk
  • Balli, Hatice Ozer
  • Vo, Xuan Vinh

Abstract

The paper examines the inter-relationship between green bonds and other asset markets, including stocks, commodities, clean energy, and conventional bonds over 11 years from 2008 to 2019. The dynamic features of correlation across asset pairs over time and in different frequencies are assessed through the rolling window wavelet correlation approach. We find strong evidence that most correlation emerged and reached a peak in the aftermath of GFC 2007-2009. While comovement among stocks, commodities, and clean energy is found relatively high, the diversification benefit of green bonds is significantly revealed due to its low or negative correlation with stocks and commodities.

Suggested Citation

  • Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Vo, Xuan Vinh, 2021. "Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320304207
    DOI: 10.1016/j.frl.2020.101739
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    References listed on IDEAS

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    More about this item

    Keywords

    Green bonds; Wavelet; Time-frequency comovement; Diversification;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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