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المؤلفRehman, Mobeen Ur
المؤلفZeitun, Rami
المؤلفVo, Xuan Vinh
المؤلفAhmad, Nasir
المؤلفAl-Faryan, Mamdouh Abdulaziz Saleh
تاريخ الإتاحة2024-02-29T14:21:08Z
تاريخ النشر2023-07-01
اسم المنشورJournal of International Financial Markets, Institutions and Money
المعرّفhttp://dx.doi.org/10.1016/j.intfin.2023.101802
الاقتباسRehman, M. U., Zeitun, R., Vo, X. V., Ahmad, N., & Al-Faryan, M. A. S. (2023). Green bonds’ connectedness with hedging and conditional diversification performance. Journal of International Financial Markets, Institutions and Money, 86, 101802.‏
الرقم المعياري الدولي للكتاب10424431
معرّف المصادر الموحدhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85164725950&origin=inward
معرّف المصادر الموحدhttp://hdl.handle.net/10576/52515
الملخصInvestments in green assets are becoming increasingly significant, and they present a new asset class for investors. Consequently, the resulting connectedness among these green assets has implications for investments. Our work therefore studies 12 international green bonds markets using data from February 12, 2008 to May 21, 2021. We looked for spillover across these markets and found low values for it, suggesting there are avenues for portfolio diversification, except for with the Japanese and Hong Kong markets, which receive significant spillover from the US market. Relative to the US market, there are hedging opportunities when greater weights are assigned to the UK, Australian, Canadian, Japanese, Norwegian, and New Zealand markets for green bonds. We also highlight that these diversification benefits are conditional on the expected shortfall and the creation of an equally weighted portfolio when combining US green bonds with other green bonds.
اللغةen
الناشرElsevier Ltd
الموضوعConnectedness
Diversification
Green bonds
Hedging
العنوانGreen bonds’ connectedness with hedging and conditional diversification performance
النوعArticle
رقم المجلد86
dc.accessType Abstract Only


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