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AuthorRehman, Mobeen Ur
AuthorZeitun, Rami
AuthorVo, Xuan Vinh
AuthorAhmad, Nasir
AuthorAl-Faryan, Mamdouh Abdulaziz Saleh
Available date2024-02-29T14:21:08Z
Publication Date2023-07-01
Publication NameJournal of International Financial Markets, Institutions and Money
Identifierhttp://dx.doi.org/10.1016/j.intfin.2023.101802
CitationRehman, 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.‏
ISSN10424431
URIhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85164725950&origin=inward
URIhttp://hdl.handle.net/10576/52515
AbstractInvestments 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.
Languageen
PublisherElsevier Ltd
SubjectConnectedness
Diversification
Green bonds
Hedging
TitleGreen bonds’ connectedness with hedging and conditional diversification performance
TypeArticle
Volume Number86
dc.accessType Abstract Only


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