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The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments

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  • Zhang, Wenting
  • He, Xie
  • Hamori, Shigeyuki

Abstract

This study analyzes the impact of the COVID-19 pandemic and the Russia-Ukraine war on the connectedness of lower-order moments (returns and volatility) and higher-order moments (skewness and kurtosis) in the markets of green bonds, clean energy, wind, solar, and sustainability indexes. To compare the spillover effects of these moments, we use the Diebold and Yilmaz and Barunik and Krehlik methods. Our findings show that the total spillover effect of lower-order moments is higher than that of higher-order moments in the time domain. In the frequency domain, the total return and skewness spillover are primarily concentrated in the short term, whereas the total volatility spillover is mainly concentrated in the long term. Furthermore, we observe that the spillover effect of the Russia-Ukraine war on the green finance market is mild, while the COVID-19 pandemic has a significant and unprecedented influence on the spillover of both lower- and higher-order moments in this market. Additionally, we note that before the COVID-19 outbreak, the total kurtosis spillover was irregular, but it became concentrated in the long term after the outbreak. Moreover, the continuation of COVID-19 has had an unprecedented and long-lasting impact on the kurtosis and skewness of the green bond market.

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  • Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    • Handle: RePEc:eee:finana:v:89:y:2023:i:c:s105752192300251x
    DOI: 10.1016/j.irfa.2023.102735
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