Arif Muhammad, Naeem Muhammad Abubakr, Farid Saqib, Nepal Rabindra, Jamasb Tooraj
Department of Business Administration, Shaheed Benazir Bhutto University, Shaheed Benazirabad, Pakistan.
Accounting and Finance Department, United Arab Emirates University, P.O. Box 15551, Al Ain, United Arab Emirates.
Energy Policy. 2022 Sep;168:113102. doi: 10.1016/j.enpol.2022.113102. Epub 2022 Jun 15.
Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We employ the cross-quantilogram approach to understand better the dynamic relationship between two assets under different market conditions. Our full sample results reveal that the green bond index could serve as a diversifier asset for medium- and long-term equity investors. Besides, it can serve as a hedging and safe-haven instrument for currency and commodity investments. Moreover, the sub-sample analysis of the pandemic period shows a heightened short- and medium-term lead-lag association between the green bond index and conventional investment returns. However, the green bond index emerges as a significant hedging and safe-haven asset for long-term investors of conventional financial assets. Our findings offer valuable insights for long-term investors when their portfolios are comprised of conventional assets such as equities, commodities, forex, and fixed income securities. Further, our findings reveal the potential role of green bond investments in global financial recovery efforts without compromising the low-carbon transition targets.
在新冠疫情的背景下，本研究探讨了绿色债券对于传统股票、固定收益、大宗商品和外汇投资的套期保值及避险潜力。我们采用交叉分位数谱方法，以更好地理解不同市场条件下两种资产之间的动态关系。我们的全样本结果显示，绿色债券指数可为中长期股票投资者充当分散投资资产。此外，它还可作为货币和大宗商品投资的套期保值及避险工具。此外，疫情期间的子样本分析表明，绿色债券指数与传统投资回报之间的短期和中期领先-滞后关联有所增强。然而，对于传统金融资产的长期投资者而言，绿色债券指数成为了重要的套期保值和避险资产。当长期投资者的投资组合由股票、大宗商品、外汇和固定收益证券等传统资产构成时，我们的研究结果为他们提供了有价值的见解。此外，我们的研究结果揭示了绿色债券投资在全球金融复苏努力中发挥的潜在作用，同时又不影响低碳转型目标。
