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

Author

Listed:
  • Zaghum Zaghum Umar
  • 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
  • Muhammad Usman
  • Muhammad Umar

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. 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).
    2. 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).
    3. 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).

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