Amity University, Noida, India.
Department of Management Studies, Malviya National Institute of Technology Jaipur, Jaipur, India.
Environ Sci Pollut Res Int. 2023 Jan;30(3):7625-7639. doi: 10.1007/s11356-022-22492-0. Epub 2022 Aug 31.
The present study is a novel attempt to unravel the connectedness of the green bond with energy, crypto, and carbon markets using the S&P green bond index (RSPGB). We consider MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as proxies of the energy market and use bitcoin and the European energy exchange carbon index (REEX) for the cryptocurrency and carbon market. Employing the Diebold and Yilmaz (2012), Baruník and Krehlík (2018), and wavelet coherence econometric techniques, we find that the energy market (RMGS) has the highest connectedness derived from other asset classes, and bitcoin (RBTC) has the least connectedness. Concurrently, we find that the risk transmission is heterogeneous in different scales as the short period has less connectedness than the medium and long run. We conclude that the overall diversification opportunity among green bonds, energy stock, bitcoin, and the carbon market is more in the short-run than in the medium and long-run. In summary, our findings on the green bond market will provide investors, portfolio managers, and policymakers with critical insight into ensuring a sustainable financial market.
本研究首次尝试利用标普绿色债券指数（RSPGB）揭示绿色债券与能源、加密货币和碳市场的关联性。我们以 MAC 全球太阳能指数（RMGS）和 ISE 全球风能指数（RIGW）作为能源市场的代理指标，以比特币和欧洲能源交易所碳指数（REEX）作为加密货币和碳市场的代理指标。采用 Diebold 和 Yilmaz（2012）、Baruník 和 Krehlík（2018）以及小波相干计量经济学技术，我们发现能源市场（RMGS）与其他资产类别之间的关联性最高，而比特币（RBTC）的关联性最低。同时，我们发现不同规模的风险传递具有异质性，短期的关联性低于中期和长期。我们的结论是，绿色债券、能源股票、比特币和碳市场之间的整体多元化机会在短期内大于中期和长期。总之，我们对绿色债券市场的研究结果将为投资者、投资组合经理和政策制定者提供重要的见解，以确保金融市场的可持续性。
