IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-032-07046-3_19.html

Return Connectedness Among Selected Asset Classes and Green Bonds

In: Topics in Corporate Finance

Author

Listed:
  • Massimiliano Marzo

    (University of Bologna, Department of Management)

Abstract

The present chapter delves into the role of green bonds within a non-conventional asset class investment portfolio. Despite the increasing evidence about the role of Green Bond in asset allocation, there is limited evidence on the interaction of this asset class together with non-conventional asset class indexes for the US Market, such as ABS bonds, High-Yield bond (rating CCC), Municipal Green Bonds, Nasdaq Green Bonds, and MSCI US Stock Market index. The analysis is conducted using a time-varying parameter vector auto-regression (TVP-VAR) model to examine daily data from January 1, 2015, to October 20, 2023. This setting allows for studying the connectedness between asset classes conditional on several market situations. Various dynamic weighting schemes are employed to construct bond portfolios, including a minimum connectedness portfolio aiming to minimize the connectedness between variables. Our findings are that Green Bonds act as a net transmitter only in the last part of the sample. The weights of Green Bonds in the portfolio range from 6 to 14 percent. Green Bonds do not show any special hedging role within the context of other asset classes. Contrary to common wisdom, leaving out Green Bonds allows for building portfolios with higher Sharpe Ratios. The evidence here collected casts some doubts about the hedging properties of Green Bonds when non-standard asset classes are considered as ingredients for asset allocation.

Suggested Citation

  • Massimiliano Marzo, 2025. "Return Connectedness Among Selected Asset Classes and Green Bonds," Springer Books, in: Stefano Mengoli (ed.), Topics in Corporate Finance, pages 501-549, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-07046-3_19
    DOI: 10.1007/978-3-032-07046-3_19
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    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:spr:sprchp:978-3-032-07046-3_19. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.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.