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Dynamic and frequency spillovers between green bonds, oil and G7 stock markets: Implications for risk management

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Cited by:

  1. Mesut Doğan & Sutbayeva Raikhan & Nurbossynova Zhanar & Bodaukhan Gulbagda, 2023. "Analysis of Dynamic Connectedness Relationships among Clean Energy, Carbon Emission Allowance, and BIST Indexes," Sustainability, MDPI, vol. 15(7), pages 1-13, March.
  2. Yasmine Snene Manzli & Mohamed Fakhfekh & Azza Béjaoui & Hind Alnafisah & Ahmed Jeribi, 2025. "On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models," PLOS ONE, Public Library of Science, vol. 20(2), pages 1-23, February.
  3. Bai, Lan & Wei, Yu & Zhang, Jiahao & Wang, Yizhi & Lucey, Brian M., 2023. "Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach," Energy Economics, Elsevier, vol. 123(C).
  4. Elham Kamal & Elie Bouri, 2025. "Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-33, December.
  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. Nong, Huifu & Yu, Ziliang & Li, Yang, 2024. "Financial shock transmission in China's banking and housing sectors: A network analysis," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 701-723.
  7. Billah, Mabruk & Elsayed, Ahmed H. & Hadhri, Sinda, 2023. "Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  8. Umar, Zaghum & Hadhri, Sinda & Abakah, Emmanuel Joel Aikins & Usman, Muhammad & Umar, Muhammad, 2024. "Return and volatility spillovers among oil price shocks and international green bond markets," Research in International Business and Finance, Elsevier, vol. 69(C).
  9. Huang, Wenli & Li, Shi & Qi, Zhen & Zhang, Qi, 2022. "Macro disagreement and international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  10. AlGhazali, Abdullah & Belghouthi, Houssem Eddine & Mensi, Walid & Mclver, Ron & Kang, Sang Hoon, 2024. "Oil price shocks, sustainability index, and green bond market spillovers and connectedness during bear and bull market conditions," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 1470-1489.
  11. Zhang, Xu & Naeem, Muhammad Abubakr & Du, Yuting & Rauf, Abdul, 2024. "Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
  12. Zhao, Jing & Cui, Luansong & Liu, Weiguo & Zhang, Qiwen, 2023. "Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach," Resources Policy, Elsevier, vol. 86(PB).
  13. Muñoz Mendoza, Jorge A. & Veloso Ramos, Carmen L. & Delgado Fuentealba, Carlos L. & Cornejo Saavedra, Edinson E. & Sepúlveda Yelpo, Sandra M., 2024. "Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management," Global Finance Journal, Elsevier, vol. 63(C).
  14. Huang, Wei-Qiang & Dai, Jing, 2025. "Optimal portfolio selection of China's green bond and stock markets: Evidence from the multi-frequency extreme risk connectedness," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 208-237.
  15. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  16. Mensi, Walid & Vo, Xuan Vinh & Ko, Hee-Un & Kang, Sang Hoon, 2023. "Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 558-580.
  17. 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).
  18. Han, SeungOh, 2025. "Dynamic hedging strategies for U.S. investors in international stock ETFs following geopolitical conflicts," Finance Research Letters, Elsevier, vol. 72(C).
  19. Dogan, Eyup & Madaleno, Mara & Taskin, Dilvin & Tzeremes, Panayiotis, 2022. "Investigating the spillovers and connectedness between green finance and renewable energy sources," Renewable Energy, Elsevier, vol. 197(C), pages 709-722.
  20. Özkan, Oktay & Meo, Muhammad Saeed & Younus, Mehak, 2024. "Unearthing the hedge and safe-haven potential of green investment funds for energy commodities," Energy Economics, Elsevier, vol. 138(C).
  21. Yousaf, Imran & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillovers and connectedness between crude oil and green bond markets," Resources Policy, Elsevier, vol. 89(C).
  22. Dong, Xiyong & Xiong, Youlin & Nie, Siyue & Yoon, Seong-Min, 2023. "Can bonds hedge stock market risks? Green bonds vs conventional bonds," Finance Research Letters, Elsevier, vol. 52(C).
  23. Su, Yun Hsuan & Rizvi, Syed Kumail Abbas & Umar, Muhammad & Chang, Hsuling, 2023. "Unveiling the relationship between oil and green bonds: Spillover dynamics and implications," Energy Economics, Elsevier, vol. 127(PA).
  24. Zhang, Hongwei & Wei, Shiyao & Guo, Yaoqi, 2025. "Long-term correlation between the green and conventional bond markets: The roles of categorical EPU indices and structural changes," Research in International Business and Finance, Elsevier, vol. 77(PA).
  25. Mohammad Al-Shboul & Aktham Maghyereh, 2023. "Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
  26. 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).
  27. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.
  28. Hoque, Mohammad Enamul & Billah, Mabruk & Kapar, Burcu & Naeem, Muhammad Abubakr, 2024. "Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  29. Majid Mirzaee Ghazani & Ali Akbar Momeni Malekshah & Reza Khosravi, 2024. "Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
  30. Ana Iglesias-Casal & Carmen López-Andión & Mª Celia López-Penabad & José Manuel Maside-Sanfiz, 2025. "Dynamic correlations and portfolio optimization in socially responsible investments: evidence from Indonesia and South Korea," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-15, December.
  31. Zargar, Faisal Nazir & Mohnot, Rajesh & Hamouda, Foued & Arfaoui, Nadia, 2024. "Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets," Resources Policy, Elsevier, vol. 92(C).
  32. Umar, Zaghum & Abrar, Afsheen & Hadhri, Sinda & Sokolova, Tatiana, 2023. "The connectedness of oil shocks, green bonds, sukuks and conventional bonds," Energy Economics, Elsevier, vol. 119(C).
  33. Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh, 2025. "Is it just green? Asymmetry behavior of returns in green investments," International Review of Economics & Finance, Elsevier, vol. 100(C).
  34. Cui, Jinxin & Maghyereh, Aktham & Liao, Dijia, 2024. "Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments," International Review of Economics & Finance, Elsevier, vol. 95(C).
  35. Jeong, Woojin & Park, Seongwan & Lee, Seungyun & Son, Bumho & Lee, Jaewook & Ko, Hyungjin, 2024. "Influence and predictive power of sentiment: Evidence from the lithium market," Finance Research Letters, Elsevier, vol. 68(C).
  36. Boubaker, Sabri & Karim, Sitara & Naeem, Muhammad Abubakr & Rahman, Molla Ramizur, 2024. "On the prediction of systemic risk tolerance of cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
  37. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
  38. Walid Mensi & Salem Adel Ziadat & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2233-2262, October.
  39. Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 86(C).
  40. Meng-Shiuh Chang & Meng-Wei Chen & Peijie Ju, 2023. "Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach," SAGE Open, , vol. 13(4), pages 21582440231, November.
  41. Nekhili, Ramzi & Ziadat, Salem Adel & Mensi, Walid, 2023. "Frequency interdependence and portfolio management between gold, oil and sustainability stock markets," International Economics, Elsevier, vol. 176(C).
  42. Hanif, Waqas & Hadhri, Sinda & El Khoury, Rim, 2024. "Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers," Journal of Commodity Markets, Elsevier, vol. 34(C).
  43. Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  44. Arfaoui, Nadia & Naeem, Muhammad Abubakr & Boubaker, Sabri & Mirza, Nawazish & Karim, Sitara, 2023. "Interdependence of clean energy and green markets with cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
  45. 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).
  46. Naeem, Muhammad Abubakr & Anwer, Zaheer & Khan, Ashraf & Paltrinieri, Andrea, 2024. "Do market conditions affect interconnectedness pattern of socially responsible equities?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 611-630.
  47. Niu, Hongli & Zhang, Shasha, 2024. "Asymmetric effects of commodity and stock market on Chinese green market: Evidence from wavelet-based quantile-on-quantile approach," Renewable Energy, Elsevier, vol. 230(C).
  48. Naeem, Muhammad Abubakr & Appiah, Michael & Taden, John & Amoasi, Richard & Gyamfi, Bright Akwasi, 2023. "Transitioning to clean energy: Assessing the impact of renewable energy, bio-capacity and access to clean fuel on carbon emissions in OECD economies," Energy Economics, Elsevier, vol. 127(PA).
  49. Mensi, Walid & Selmi, Refk & Al-Kharusi, Sami & Belghouthi, Houssem Eddine & Kang, Sang Hoon, 2024. "Connectedness between green bonds, conventional bonds, oil, heating oil, natural gas, and petrol: new evidence during bear and bull market scenarios," Resources Policy, Elsevier, vol. 91(C).
  50. Lee, Chi-Chuan & Tang, Huayun & Li, Ding, 2022. "The roles of oil shocks and geopolitical uncertainties on China’s green bond returns," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 494-505.
  51. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
  52. Goodell, John W. & Corbet, Shaen & Yadav, Miklesh Prasad & Kumar, Satish & Sharma, Sudhi & Malik, Kunjana, 2022. "Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin," International Review of Financial Analysis, Elsevier, vol. 84(C).
  53. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran & Li, Yanshuang, 2023. "Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach," Energy Economics, Elsevier, vol. 127(PA).
  54. Naeem, Muhammad Abubakr & Gul, Raazia & Arfaoui, Nadia & Bakry, Walid & Bhatti, Muhammad Ishaq, 2025. "Riding the storm: AI-driven spillover effects across technology, commodities, and conventional markets," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
  55. Parminder Kaur Bajaj & Shubham Kakran & Rupinder Katoch, 2023. "Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets," International Journal of Accounting, Business and Finance, Indian Accounting Association, Patna Branch, vol. 2(2), pages 63-89.
  56. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).
  57. Chang, Lei & Taghizadeh-Hesary, Farhad & Chen, Huangen & Mohsin, Muhammad, 2022. "Do green bonds have environmental benefits?," Energy Economics, Elsevier, vol. 115(C).
  58. Niu, Hongli & Ma, Yiming, 2025. "Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis," Journal of Commodity Markets, Elsevier, vol. 40(C).
  59. Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh & Ghardallou, Wafa & Kang, Sang Hoon, 2023. "Is the impact of oil shocks more pronounced during extreme market conditions?," Resources Policy, Elsevier, vol. 85(PA).
  60. Ali, Shoaib & Naveed, Muhammad & Youssef, Manel & Yousaf, Imran, 2024. "FinTech-powered integration: Navigating the static and dynamic connectedness between GCC equity markets and renewable energy cryptocurrencies," Resources Policy, Elsevier, vol. 89(C).
  61. Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022. "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
  62. Hanif, Waqas & El Khoury, Rim & Hadhri, Sinda, 2025. "Is connectedness between commodity volatility indices and G-7 stock market returns the same across return quantiles?," Journal of Multinational Financial Management, Elsevier, vol. 79(C).
  63. Xiao, Xunyong & Li, Aixi & Kchouri, Bilal & Shan, Shan, 2024. "Tracing the dynamic impact of energy transitions on equity market volatility in an era of financial turbulence," Energy Economics, Elsevier, vol. 133(C).
  64. Xin Jin & Bisharat Hussain Chang & Chaosheng Han & Mohammed Ahmar Uddin, 2025. "The tail connectedness among conventional, religious, and sustainable investments: An empirical evidence from neural network quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1124-1142, April.
  65. Miklesh Prasad Yadav & Priyanka Tandon & Anurag Bhadur Singh & Adam Shore & Pali Gaur, 2025. "Exploring time and frequency linkages of green bond with renewable energy and crypto market," Annals of Operations Research, Springer, vol. 348(3), pages 1547-1572, May.
  66. Pham, Linh & Karim, Sitara & Naeem, Muhammad Abubakr & Long, Cheng, 2022. "A tale of two tails among carbon prices, green and non-green cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 82(C).
  67. Urom, Christian & Ndubuisi, Gideon, 2023. "Do geopolitical risks and global market factors influence the dynamic dependence among regional sustainable investments and major commodities?," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 94-111.
  68. Mensi, Walid & Aslan, Aylin & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 219-232.
  69. Oana Panazan & Catalin Gheorghe, 2024. "Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
  70. Ngoepe, Letlhogonolo Kearabilwe & Bonga-Bonga, Lumengo, 2024. "The connectedness of financial risk and green financial instruments: a dynamic and frequency analysis," MPRA Paper 121091, University Library of Munich, Germany.
  71. Naeem, Muhammad Abubakr & Arfaoui, Nadia, 2023. "Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises," Energy Economics, Elsevier, vol. 127(PB).
  72. 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.
  73. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara, 2024. "Tail risk spillover effects in commodity markets: A comparative study of crisis periods," Journal of Commodity Markets, Elsevier, vol. 33(C).
  74. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
  75. Ding, Yan & Li, Changzheng & Ye, Sisi, 2025. "Transmission effects of real estate risk on municipal bond spreads," Finance Research Letters, Elsevier, vol. 78(C).
  76. Yousfi, Mohamed & Farhani, Ramzi & Bouzgarrou, Houssam, 2024. "From the pandemic to the Russia–Ukraine crisis: Dynamic behavior of connectedness between financial markets and implications for portfolio management," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1178-1197.
  77. Ummara Razi & Calvin W. H. Cheong & Sahar Afshan & Arshian Sharif, 2025. "The ripple effects of energy price volatility on equity and debt markets: a Morlet wavelet analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 197-223, March.
  78. Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
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