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Effects of COVID-19 on green bonds, renewable power stocks, and carbon markets: A dynamic spillover analysis

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  • Zhang, LiXia
  • Baloch, Zulfiqar Ali
  • Niu, Guangli

Abstract

This study investigates the effects of the COVID-19 pandemic on green bonds, carbon pricing, and renewable energy equities. It uses daily data from January 4, 2015, to September 22, 2020. The dataset includes the price indices for Standard and Green Bond, Selective International Solar, Wind, S&P Global Sustainable Energy, and Carbon to explore return spillover and connectedness. This study investigates the use of the TVP-VAR approach with least variance collection by economic events. Additionally, a spillover dynamic connectedness model was implemented for robustness. Our findings indicate that the implied dynamic connectedness and effectiveness of green-bound assets are long- and short-term positions in the green bound against volatilities. Specifically, clean energy uses connectedness as the primary net transmitter of shocks from green bond markets and renewable energy during COVID-19. This study provides evidence that a high interconnection between green bonds highlights multivariate portfolios. Finally, the green bound, with the lowest dynamic connectedness information regarding the return transmission process, was useful for renewable energy, during the COVID-19 pandemic, a similar pattern was found.

Suggested Citation

  • Zhang, LiXia & Baloch, Zulfiqar Ali & Niu, Guangli, 2023. "Effects of COVID-19 on green bonds, renewable power stocks, and carbon markets: A dynamic spillover analysis," Renewable Energy, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:renene:v:216:y:2023:i:c:s0960148123007978
    DOI: 10.1016/j.renene.2023.06.021
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