عرض بسيط للتسجيلة

المؤلفAbuzayed, Bana
المؤلفAl-Fayoumi, Nedal
تاريخ الإتاحة2024-01-21T13:33:57Z
تاريخ النشر2023-01-01
اسم المنشورApplied Economics
المعرّفhttp://dx.doi.org/10.1080/00036846.2022.2128178
الاقتباسAbuzayed, B., & Al-Fayoumi, N. (2023). Diversification and hedging strategies of green bonds in financial asset portfolios during the COVID-19 pandemic. Applied Economics, 55(36),.‏
الرقم المعياري الدولي للكتاب00036846
معرّف المصادر الموحدhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85159655208&origin=inward
معرّف المصادر الموحدhttp://hdl.handle.net/10576/51009
الملخصIn this paper, we investigate whether investors can reap potential diversification or hedging benefits from holding green bonds in a portfolio containing a conventional financial asset during the COVID-19 pandemic. Using data from 6 November 2014 to 5 November 2020, we estimate corrected dynamic conditional correlation between between green bonds and four major asset classes: stocks, corporate bonds, commodities, and clean energy. We extend our analysis by using these correlations to examine hedging, optimal portfolio weights, and naïve strategies and evaluate their implications for investors by calculating hedging effectiveness and utility gain improvement. Results reveal that across the full sample, pre-COVID-19, and during-COVID-19 periods, optimal portfolio weights represent an ideal strategy to realize the greatest risk reduction and risk-adjusted return. Further, green bonds could add substantial diversification benefits for investors holding assets in clean energy, global stocks, and commodities.
اللغةen
الناشرRoutledge
الموضوعCOVID-19
diversification
Financial assets
hedge
portfolio
العنوانDiversification and hedging strategies of green bonds in financial asset portfolios during the COVID-19 pandemic
النوعArticle
الصفحات4228-4238
رقم العدد36
رقم المجلد55
dc.accessType Open Access


الملفات في هذه التسجيلة

Thumbnail

هذه التسجيلة تظهر في المجموعات التالية

عرض بسيط للتسجيلة