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Return and volatility spillovers among oil price shocks and international green bond markets

Author

Listed:
  • Zaghum Zaghum Umar

    (Zayed University, LAU - Lebanese American University)

  • Sinda Hadhri

    (UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University))

  • Emmanuel Joel Aikins Abakah

    (Université du Ghana = University of Ghana)

  • Muhammad Usman

    (CUI - COMSATS University Islamabad)

  • Muhammad Umar

    (LAU - Lebanese American University)

Abstract

We analyse the spillover effects between oil price shocks and green bonds issued in twelve developed economies. We decompose oil price shocks into demand, risk and supply shocks. We employ daily data from December 2008 to June 2022 enabling us to cover major global crisis episodes such as the global financial crisis, European sovereign debt crisis, Covid-19 pandemic, Russia-Ukraine conflict, and the corresponding boom and bust in energy markets. Our results show the dominance of the US and the European green bond markets as the main contributors to return and volatility spillovers among international green bonds, respectively. The degree of connectedness among markets varies over time with a more pronounced effect on returns during turbulent periods. Oil shocks exhibit a relatively low degree of connectedness with green bonds implying potential diversification attributes. This result is, particularly, supported in the case of green bond markets of USA, Euro, Denmark and Hong-Kong.

Suggested Citation

  • Zaghum Zaghum Umar & Sinda Hadhri & Emmanuel Joel Aikins Abakah & Muhammad Usman & Muhammad Umar, 2024. "Return and volatility spillovers among oil price shocks and international green bond markets," Post-Print hal-05240432, HAL.
    • Handle: RePEc:hal:journl:hal-05240432
    DOI: 10.1016/j.ribaf.2024.102254
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    Cited by:

    1. Xie, Qichang & Bi, Yanhao & Xi, Yiyu & Xu, Xin, 2025. "The impact of geopolitical risk on higher-order moment risk spillovers in global energy markets," Energy Economics, Elsevier, vol. 144(C).
    2. Joel, Tchuiendem Nelly & Zheng, Haitao & Liu, Bing-Yue, 2025. "Cross-region analysis of the environmental performance of green bond issuers," Finance Research Letters, Elsevier, vol. 75(C).
    3. Wen, Cui-Ping & Wang, Kai-Hua & Su, Chi-Wei & Li, Xin & Wang, Zu-Shan, 2025. "Navigating China's green bonds: Insights from cryptocurrency price, oil price, and economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 102(C).
    4. Sánchez-García, Javier & Mattera, Raffaele & Cruz-Rambaud, Salvador & Cerqueti, Roy, 2024. "Measuring financial stability in the presence of energy shocks," Energy Economics, Elsevier, vol. 139(C).
    5. Deng, Xiang & Xu, Fang, 2024. "Connectedness between international oil and China's new energy industry chain: A time-frequency analysis based on TVP-VAR model," Energy Economics, Elsevier, vol. 140(C).
    6. Kayani, Umar & Hasnaoui, Amir & Khan, Maaz & Zahoor, Nadia & Nawaz, Farrukh, 2024. "Analyzing fossil fuel commodities' return spillovers during the Russia and Ukraine crisis in the energy market," Energy Economics, Elsevier, vol. 135(C).
    7. de Boyrie, Maria E. & Pavlova, Ivelina, 2024. "Connectedness with commodities in emerging markets: ESG leaders vs. conventional indexes," Research in International Business and Finance, Elsevier, vol. 71(C).
    8. Karkowska, Renata & Urjasz, Szczepan, 2024. "Volatility transmission and hedging strategies across green and conventional stocks in global markets," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    9. Wang, Anqi & Ding, Shusheng & Cui, Tianxiang, 2025. "Green bond market stability and Russia Ukraine conflict: The role of green inclusive finance," Research in International Business and Finance, Elsevier, vol. 74(C).
    10. Shi, Fengyuan & Guo, Yaoqi, 2025. "Differential impact of multiple risks on green and conventional bond markets: Evidence from multifractal analysis," Research in International Business and Finance, Elsevier, vol. 77(PB).
    11. Ding, Shusheng & Wang, Anqi & Cui, Tianxiang & Du, Anna Min & Zhou, Xinmiao, 2024. "Commodity market stability and sustainable development: The effect of public health policies," Research in International Business and Finance, Elsevier, vol. 70(PB).
    12. Jovović, Jelena & Popović, Saša, 2025. "Investigating volatility spillovers: Connectedness between green bonds, conventional bonds, and energy markets," Research in International Business and Finance, Elsevier, vol. 76(C).
    13. Lee, Geon Hee & Kim, Young Min, 2025. "Oil price uncertainty shock and Korean sectoral stock market: The role of common factor and asymmetry," Research in International Business and Finance, Elsevier, vol. 78(C).
    14. Wang, Jikai & Qiao, Gaoxiu, 2025. "Extreme events and quantile time-frequency volatility connectedness across crude oil, green bonds and low-carbon equity markets," Research in International Business and Finance, Elsevier, vol. 77(PA).
    15. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2024. "Exploring hedging potentials of green bonds against oil price shocks: Evidence from quantile-on-quantile connectedness measures," Finance Research Letters, Elsevier, vol. 65(C).
    16. Lau, Chi Keung & Padhan, Hemachandra & Kumar Das, Amit & Tiwari, Aviral Kumar & Gozgor, Giray & Jain, Preksha, 2025. "The role of green bonds on industrial sustainability for achieving carbon neutrality: Evidence from the artificial neural network method," Research in International Business and Finance, Elsevier, vol. 73(PB).
    17. Maneesh Gupta & Vipul Kumar Singh & Pawan Kumar, 2025. "Resilience of green bonds in portfolio diversification: evidence from crisis periods," Journal of Asset Management, Palgrave Macmillan, vol. 26(3), pages 298-315, May.
    18. Javier Sánchez-García & Raffaele Mattera & Salvador Cruz-Rambaud & Roy Cerqueti, 2024. "Measuring financial stability in the presence of energy shocks," Post-Print hal-05115049, HAL.
    19. Piao, Xiaorui & Mei, Bin, 2025. "On the corporate performance of issuers of various green assets," Finance Research Letters, Elsevier, vol. 78(C).

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    Keywords

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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • G1 - Financial Economics - - General Financial Markets

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