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Quantile Connectedness Amongst Green Assets Amid COVID-19 and Russia–Ukraine Tussle

Author

Listed:
  • Ayesha Rehan

    (Department of Business Administration, Iqra University, Islamabad 75500, Pakistan)

  • Wahbeeah Mohti

    (Department of Business Administration, Iqra University, Islamabad 75500, Pakistan)

  • Paulo Ferreira

    (Department of Economic and Business Sciences, Portalegre Polytechcnic University, 7300-110 Portalegre, Portugal
    VALORIZA—Research Centre for Endogenous Resources Valorisation, 7350-092 Portalegre, Portugal)

Abstract

With the advent of greening the global economy and the introduction of green financial assets, this study examines the connectedness and spillover effect of green assets using a QVAR approach focusing on the average connectedness and connectedness under extreme market conditions. The time of the study captures the crucial global incidents of COVID-19 and Russia–Ukraine war to investigate the effect of major incidents on the connectedness of green assets. The results of the QVAR analysis reveal that green assets are moderately connected under normal market conditions; however, their connection is strengthened under extreme market conditions. IOTA and SP Green Bonds are the net receivers of shocks from other assets, and SP Green Bonds are connected to green energy indices and green cryptocurrencies during turbulent markets. Since green cryptocurrencies are closely connected, a lower portion of them should be added to portfolios, whereas SP Green Bonds qualify as a good diversifying agent in a portfolio. The study has significant implications for market participants, investors, and policymakers.

Suggested Citation

  • Ayesha Rehan & Wahbeeah Mohti & Paulo Ferreira, 2024. "Quantile Connectedness Amongst Green Assets Amid COVID-19 and Russia–Ukraine Tussle," Economies, MDPI, vol. 12(11), pages 1-22, November.
    • Handle: RePEc:gam:jecomi:v:12:y:2024:i:11:p:307-:d:1520321
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    References listed on IDEAS

    as
    1. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
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    3. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021. "Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach," Economics Letters, Elsevier, vol. 204(C).
    4. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).
    Full references (including those not matched with items on IDEAS)

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