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The heterogeneous role of economic and financial uncertainty in green bond market efficiency

Author

Listed:
  • Ping Wei
  • Jingzi Zhou
  • Xiaohang Ren
  • Farhad Taghizadeh-Hesary

Abstract

Purpose - This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market. Design/methodology/approach - This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic. Findings - EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened. Practical implications - This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market. Originality/value - This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.

Suggested Citation

  • Ping Wei & Jingzi Zhou & Xiaohang Ren & Farhad Taghizadeh-Hesary, 2023. "The heterogeneous role of economic and financial uncertainty in green bond market efficiency," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 23(1), pages 130-155, November.
    • Handle: RePEc:eme:rafpps:raf-07-2023-0202
    DOI: 10.1108/RAF-07-2023-0202
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