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Market efficiency and Volatility persistence of green investments before and during COVID-19 pandemic

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  • Yaya, OlaOluwa S
  • Akano, Rafiu O
  • Adekoya, Oluwasegun B.

Abstract

Market efficiency and volatility persistence of five green investments, before and during the COVID-19 pandemic, are investigated by employing a nonlinear I(d) framework with Chebyshev polynomial in time. Results show that green investments are more efficient before the crisis, and also volatility persists more, when compared to the period during the crisis, except in MSCI global green building index. Thus, green investors are likely to make arbitrage profits during the pandemic.

Suggested Citation

  • Yaya, OlaOluwa S & Akano, Rafiu O & Adekoya, Oluwasegun B., 2021. "Market efficiency and Volatility persistence of green investments before and during COVID-19 pandemic," MPRA Paper 113706, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:113706
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    References listed on IDEAS

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    1. Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Mokni, Khaled, 2020. "Relationship between green bonds and financial and environmental variables: A novel time-varying causality," Energy Economics, Elsevier, vol. 92(C).
    2. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
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    Cited by:

    1. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Sakiru A. Solarin & OlaOluwa S. Yaya, 2024. "Testing for Persistence in German Green and Brown Stock Market Indices," CESifo Working Paper Series 11207, CESifo.

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    More about this item

    Keywords

    Green investment; volatility persistence; COVID-19 pandemic;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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