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Volatility spillover of green bond with renewable energy and crypto market

Author

Listed:
  • Yadav, Mikesh Prasad
  • Pandey, Asheesh
  • Taghizadeh-Hesary, Farhad
  • Arya, Vandana
  • Mishra, Nandita

Abstract

Sustainable development is currently one of the most significant goals of humankind. Sustainable growth requires reducing carbon emissions and maintaining a rise in global temperatures within acceptable limits. Renewable energy sources, such as wind, solar, water, biomass, wave energy, and green investments, are substitutes for fossil fuels that significantly reduce carbon emissions. This study examines the volatility spillover of green bonds with renewable energy and the crypto market using daily data from October 1, 2015, to February 24, 2022. The results reveal the presence of spillovers from green bonds to renewable energy and the cryptocurrency market in the long run. Additionally, the results of the B&K tests indicate that the spillover among all the considered series under examination is lower in the short run than in the medium and long run, furnishing more opportunities to diversify the portfolio in the short run. This study has several implications for investors, portfolio managers, and policymakers.

Suggested Citation

  • Yadav, Mikesh Prasad & Pandey, Asheesh & Taghizadeh-Hesary, Farhad & Arya, Vandana & Mishra, Nandita, 2023. "Volatility spillover of green bond with renewable energy and crypto market," Renewable Energy, Elsevier, vol. 212(C), pages 928-939.
    • Handle: RePEc:eee:renene:v:212:y:2023:i:c:p:928-939
    DOI: 10.1016/j.renene.2023.05.056
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    References listed on IDEAS

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