IDEAS home Printed from https://ideas.repec.org/a/gam/jrisks/v11y2023i1p15-d1029690.html
   My bibliography  Save this article

A Wavelet Analysis of the Dynamic Connectedness among Oil Prices, Green Bonds, and CO 2 Emissions

Author

Listed:
  • Nini Johana Marín-Rodríguez

    (Programa de Ingeniería Financiera, Facultad de Ingenierías, Universidad de Medellín, Medellin 050026, Colombia)

  • Juan David González-Ruiz

    (Departamento de Economía, Facultad de Ciencias Humanas y Económicas, Universidad Nacional de Colombia, Sede Medellín, Medellin 050034, Colombia)

  • Sergio Botero

    (Departamento de Ingeniería de la Organización, Facultad de Minas, Universidad Nacional de Colombia—Sede Medellín, Medellin 050034, Colombia)

Abstract

Wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) are used to examine the co-movements among oil prices, green bonds, and CO 2 emissions on daily data from January 2014 to October 2022. The WPS results show that oil returns exhibit significant volatility at low and medium frequencies, particularly in 2014, 2019–2020, and 2022. Also, the Green Bond Index presents significant volatility at the end of 2019–2020 and the beginning of 2022 at low, medium, and high frequencies. Additionally, CO 2 futures’ returns present high volatility at low and medium frequencies, expressly in 2015–2016, 2018, the end of 2019–2020, and 2022. WCA’s empirical findings reveal (i) that oil returns have a negative impact on the Green Bond Index in the medium term. (ii) There is a strong interdependence between oil prices and CO 2 futures’ returns, in short, medium, and long terms, as inferred from the time–frequency analysis. (iii) There also is evidence of strong short, medium, and long terms co-movements between the Green Bond Index and CO 2 futures’ returns, with the Green Bond Index leading.

Suggested Citation

  • Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Sergio Botero, 2023. "A Wavelet Analysis of the Dynamic Connectedness among Oil Prices, Green Bonds, and CO 2 Emissions," Risks, MDPI, vol. 11(1), pages 1-21, January.
    • Handle: RePEc:gam:jrisks:v:11:y:2023:i:1:p:15-:d:1029690
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-9091/11/1/15/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-9091/11/1/15/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Luís Aguiar-Conraria & Maria Soares, 2011. "Oil and the macroeconomy: using wavelets to analyze old issues," Empirical Economics, Springer, vol. 40(3), pages 645-655, May.
    2. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Azhgaliyeva, Dina & Kapsalyamova, Zhanna & Mishra, Ranjeeta, 2022. "Oil price shocks and green bonds: An empirical evidence," Energy Economics, Elsevier, vol. 112(C).
    4. Saeed, Tareq & Bouri, Elie & Alsulami, Hamed, 2021. "Extreme return connectedness and its determinants between clean/green and dirty energy investments," Energy Economics, Elsevier, vol. 96(C).
    5. Reboredo, Juan C., 2018. "Green bond and financial markets: Co-movement, diversification and price spillover effects," Energy Economics, Elsevier, vol. 74(C), pages 38-50.
    6. Bouoiyour, Jamal & Gauthier, Marie & Bouri, Elie, 2023. "Which is leading: Renewable or brown energy assets?," Energy Economics, Elsevier, vol. 117(C).
    7. Nees Jan Eck & Ludo Waltman, 2017. "Citation-based clustering of publications using CitNetExplorer and VOSviewer," Scientometrics, Springer;Akadémiai Kiadó, vol. 111(2), pages 1053-1070, May.
    8. Sadorsky, Perry, 2012. "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies," Energy Economics, Elsevier, vol. 34(1), pages 248-255.
    9. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    10. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    11. Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
    12. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2017. "Wavelet-based test of co-movement and causality between oil and renewable energy stock prices," Energy Economics, Elsevier, vol. 61(C), pages 241-252.
    13. Reboredo, Juan C., 2015. "Is there dependence and systemic risk between oil and renewable energy stock prices?," Energy Economics, Elsevier, vol. 48(C), pages 32-45.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Paola Patricia Ariza-Colpas & Marlon Alberto Piñeres-Melo & Roberto Cesar Morales-Ortega & Andres-Felipe Rodriguez-Bonilla & Shariq Butt-Aziz & Sumera Naz & Leidys del Carmen Contreras-Chinchilla & Ma, 2023. "Augmented Reality and Tourism: A Bibliometric Analysis of New Technological Bets in the Post-COVID Era," Sustainability, MDPI, vol. 15(21), pages 1-29, October.
    2. Ahmed Samour & Omar Ikbal Tawfik & Magdalena Radulescu & Cristina Florentina Baldan, 2023. "Do Oil Price, Renewable Energy, and Financial Development Matter for Environmental Quality in Oman? Novel Insights from Augmented ARDL Approach," Energies, MDPI, vol. 16(12), pages 1-14, June.
    3. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research," Sustainability, MDPI, vol. 15(20), pages 1-32, October.
    4. Paola Patricia Ariza-Colpas & Marlon Alberto Piñeres-Melo & Roberto-Cesar Morales-Ortega & Andres-Felipe Rodriguez-Bonilla & Shariq Butt-Aziz & Sumera Naz & Leidys del Carmen Contreras-Chinchilla & Ma, 2023. "Tourism and Conservation Empowered by Augmented Reality: A Scientometric Analysis Based on the Science Tree Metaphor," Sustainability, MDPI, vol. 15(24), pages 1-32, December.
    5. Kelly Andrea Aguirre & Diego Paredes Cuervo, 2023. "Water Safety and Water Governance: A Scientometric Review," Sustainability, MDPI, vol. 15(9), pages 1-16, April.
    6. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Sustainability, Uncertainty, and Risk: Time-Frequency Relationships," Sustainability, MDPI, vol. 15(18), pages 1-18, September.
    7. Si Mohammed, Kamel & Khalfaoui, Rabeh & Doğan, Buhari & Sharma, Gagan Deep & Mentel, Urszula, 2023. "The reaction of the metal and gold resource planning in the post-COVID-19 era and Russia-Ukrainian conflict: Role of fossil fuel markets for portfolio hedging strategies," Resources Policy, Elsevier, vol. 83(C).
    8. Paola Patricia Ariza-Colpas & Marlon Alberto Piñeres-Melo & Roberto-Cesar Morales-Ortega & Andrés Felipe Rodríguez-Bonilla & Shariq Butt-Aziz & Sumera Naz & Leidys del Carmen Contreras-Chinchilla & Ma, 2024. "Sustainability in Hybrid Technologies for Heritage Preservation: A Scientometric Study," Sustainability, MDPI, vol. 16(5), pages 1-37, February.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jing Deng & Jingxuan Lu & Yujie Zheng & Xiaoyun Xing & Cheng Liu & Tao Qin, 2022. "The Impact of the COVID-19 Pandemic on the Connectedness between Green Industries and Financial Markets in China: Evidence from Time-Frequency Domain with Portfolio Implications," Sustainability, MDPI, vol. 14(20), pages 1-24, October.
    2. Su, Chi-Wei & Pang, Li-Dong & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises," Energy, Elsevier, vol. 274(C).
    3. Tan, Xueping & Geng, Yong & Vivian, Andrew & Wang, Xinyu, 2021. "Measuring risk spillovers between oil and clean energy stocks: Evidence from a systematic framework," Resources Policy, Elsevier, vol. 74(C).
    4. Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
    5. Doğan, Buhari & Trabelsi, Nader & Tiwari, Aviral Kumar & Ghosh, Sudeshna, 2023. "Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 36-62.
    6. Gu, Fu & Wang, Jiqiang & Guo, Jianfeng & Fan, Ying, 2020. "How the supply and demand of steam coal affect the investment in clean energy industry? Evidence from China," Resources Policy, Elsevier, vol. 69(C).
    7. Farid, Saqib & Karim, Sitara & Naeem, Muhammad A. & Nepal, Rabindra & Jamasb, Tooraj, 2023. "Co-movement between dirty and clean energy: A time-frequency perspective," Energy Economics, Elsevier, vol. 119(C).
    8. Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2022. "Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19," Energy Policy, Elsevier, vol. 168(C).
    9. Asl, Mahdi Ghaemi & Canarella, Giorgio & Miller, Stephen M., 2021. "Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies," Resources Policy, Elsevier, vol. 71(C).
    10. Dutta, Anupam & Dutta, Probal, 2022. "Geopolitical risk and renewable energy asset prices: Implications for sustainable development," Renewable Energy, Elsevier, vol. 196(C), pages 518-525.
    11. Rehman, Mobeen Ur & Raheem, Ibrahim D. & Zeitun, Rami & Vo, Xuan Vinh & Ahmad, Nasir, 2023. "Do oil shocks affect the green bond market?," Energy Economics, Elsevier, vol. 117(C).
    12. Janda, Karel & Kristoufek, Ladislav & Zhang, Binyi, 2022. "Return and volatility spillovers between Chinese and U.S. clean energy related stocks," Energy Economics, Elsevier, vol. 108(C).
    13. Dutta, Anupam & Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Impact of energy sector volatility on clean energy assets," Energy, Elsevier, vol. 212(C).
    14. Román Ferrer & Rafael Benítez & Vicente J. Bolós, 2021. "Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
    15. Jiang, Yonghong & Wang, Jieru & Ao, Zhiming & Wang, Yujou, 2022. "The relationship between green bonds and conventional financial markets: Evidence from quantile-on-quantile and quantile coherence approaches," Economic Modelling, Elsevier, vol. 116(C).
    16. Urom, Christian & Mzoughi, Hela & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 326-341.
    17. Duan, Xiaoping & Xiao, Ya & Ren, Xiaohang & Taghizadeh-Hesary, Farhad & Duan, Kun, 2023. "Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development," Resources Policy, Elsevier, vol. 82(C).
    18. Reboredo, Juan C. & Ugolini, Andrea, 2020. "Price connectedness between green bond and financial markets," Economic Modelling, Elsevier, vol. 88(C), pages 25-38.
    19. Anupam Dutta & Kakali Kanjilal & Sajal Ghosh & Donghyun Park & Gazi Salah Uddin, 2023. "Impact of crude oil volatility jumps on sustainable investments: Evidence from India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1450-1468, October.
    20. Sohag, Kazi & Hassan, M. Kabir & Bakhteyev, Stepan & Mariev, Oleg, 2023. "Do green and dirty investments hedge each other?," Energy Economics, Elsevier, vol. 120(C).

    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:gam:jrisks:v:11:y:2023:i:1:p:15-:d:1029690. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    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.