Faculty of Economics, Kharazmi University, Tehran, Iran.
Faculty of Economics, Imam Sadiq University, Tehran, Iran.
J Environ Manage. 2023 Nov 1;345:118580. doi: 10.1016/j.jenvman.2023.118580. Epub 2023 Aug 3.
This research investigates the dynamic dependence and causality relationship of the S&P Kensho Clean Energy (CE) and Cleantech (CT) indices with two green bond indices, including the S&P Green Bond Index (GB) and Green Bond Select (GBS) indices, and four Islamic bond indices, including A-, AA-, AAA-, and BBB-graded Sukuk Indices. In the long- and medium-term, the dependence of CE and CT on Sukuk and green bond indices strengthens under normal or bearish market conditions based on quantile cross-spectral (coherency). Overall, among all alternative financing instruments, AA- and A-rated Sukuk indices and GBS indices have higher coherency with CE and CT. Furthermore, the direction of causality in the frequency domain is most commonly observed from Sukuk and bond indices to CT and CE. Once again, AA-rated, A-rated, and GBS have more significant causality effects on CT and CE for nearly all frequencies compared to other indices. These results present vital implications for both policymakers who want to advocate the development of environmentally friendly projects and investors who want to invest their capital in green economic activities in terms of diversifying and hedging their investments.
本研究调查了标准普尔肯绍清洁能源（CE）和清洁技术（CT）指数与两个绿色债券指数，包括标准普尔绿色债券指数（GB）和绿色债券精选指数（GBS），以及四个伊斯兰债券指数，包括 A-、AA-、AAA-和 BBB-级的 Sukuk 指数之间的动态依赖关系和因果关系。在长期和中期内，基于分位数交叉谱（相干性），CE 和 CT 对 Sukuk 和绿色债券指数的依赖关系在正常或熊市市场条件下增强。总体而言，在所有替代融资工具中，AA 级和 A 级 Sukuk 指数和 GBS 指数与 CE 和 CT 的相干性更高。此外，在频域中，因果关系的方向最常见的是从 Sukuk 和债券指数到 CT 和 CE。同样，与其他指数相比，AA 级、A级和 GBS 对 CT 和 CE 在几乎所有频率上都具有更显著的因果效应。这些结果对于希望倡导发展环保项目的政策制定者和希望将资本投资于绿色经济活动的投资者来说，在分散和对冲投资方面都具有重要意义。
