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Market Efficiency and Volatility Persistence of Green Investments Before and During the COVID-19 Pandemic

Author

Listed:
  • OlaOluwa Yaya
  • Rafiu Akano
  • Oluwasegun Adekoya

    (Economic and Finance Statistics Unit, Department of Statistics, University of Ibadan, Nigeria)

Abstract

Using a nonlinear framework with Chebyshev polynomial in time, we investigate the market efficiency and volatility persistence of five green investments before and during the COVID-19 pandemic. Our results show that, except for the MSCI global green building index, green investments are more efficient and exhibit higher volatility persistence before the crisis, as compared to the crisis period. Thus, green investors are likely to make arbitrage profits during the pandemic.

Suggested Citation

  • OlaOluwa Yaya & Rafiu Akano & Oluwasegun Adekoya, 2023. "Market Efficiency and Volatility Persistence of Green Investments Before and During the COVID-19 Pandemic," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(1), pages 1-6.
    • Handle: RePEc:ayb:jrnael:86
    DOI: 2023/03/09
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    References listed on IDEAS

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    More about this item

    Keywords

    Green investment; Volatility persistence; COVID-19 pandemic;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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