IDEAS home Printed from https://ideas.repec.org/a/eee/asieco/v100y2025ics1049007825001083.html
   My bibliography  Save this article

Dependence and hedging between green bonds and clean energy sub-markets in China: Insights from time–frequency wavelet approaches

Author

Listed:
  • Deng, Jing
  • Liu, Yejiao
  • Xing, Xiaoyun

Abstract

This paper examines the time–frequency dependence between green bonds and clean energy subsector stocks in China, as well as the diversification strategies of relevant investors. Furthermore, this paper considers the impact of the pandemic on diversification strategies. Based on the wavelet coherence and wavelet phase difference analysis, the results indicate that the dependence among green bonds and clean energy varies significantly across scales and clean energy stock market sub-sectors. Besides, various clean energy subsector stocks lead green bonds in the long term. Then, this paper applies the wavelet-transformed data to estimate hedge ratios and hedge effectiveness at different wavelet scales. The clean energy categories and the investment horizon would affect the cost and hedging effectiveness when hedging clean energy stocks with green bonds, and the hedging effectiveness rises with the increase of the scales. Furthermore, the hedging costs vary significantly with various subsector stocks at all investment horizons in the aftermath of the pandemic. These results contribute to environmentally friendly investors and policymakers by considering the clean energy sub-categories at different frequencies.

Suggested Citation

  • Deng, Jing & Liu, Yejiao & Xing, Xiaoyun, 2025. "Dependence and hedging between green bonds and clean energy sub-markets in China: Insights from time–frequency wavelet approaches," Journal of Asian Economics, Elsevier, vol. 100(C).
    • Handle: RePEc:eee:asieco:v:100:y:2025:i:c:s1049007825001083
    DOI: 10.1016/j.asieco.2025.101984
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1049007825001083
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.asieco.2025.101984?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • P28 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Natural Resources; Environment
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:asieco:v:100:y:2025:i:c:s1049007825001083. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/asieco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.