Gdańsk University of Technology, Faculty of Management and Economics, Department of Finance, Gabriela Narutowicza 11/12, 80-233, Gdańsk, Poland.
University of Central Punjab, Faculty of Management Sciences, Department of Accounting and Finance, 1 - Khayaban-e-Jinnah Road, Johar Town, Lahore, Pakistan.
J Environ Manage. 2024 Nov;370:122678. doi: 10.1016/j.jenvman.2024.122678. Epub 2024 Sep 27.
In light of growing concerns about climate change and environmental issues, investor interest has surged in the new green economy market. However, the existing literature is limited regarding potential price bubbles and co-bubbles within this new domain. This study examines price bubbles and co-bubbles in the new green economy market, covering 31 indexes classified into three groups: the green economy market and its components, geographical regions, and sectors. Using daily data from August 31, 2005, to May 31, 2024, a test procedure is first applied to detect periods of price bubble in the various indexes, then logistic regressions are employed to examine price co-bubble behaviours. The results show evidence of price bubbles in the green economy market, particularly in solar and wind indexes, with peaks during the COVID-19 pandemic and Russia-Ukraine conflict, whereas the water index is the least prone to price bubbles. Regarding geographical region, the USA market exhibits a higher tendency for price bubbles than the Asian or European markets. Several sectors are resistant to price bubbles. The co-bubble analysis reveals a strong reliance of wind index on price bubbles in the solar and water indexes. Price bubbles in Asia significantly influence price bubbles in Europe and the USA. These findings have implications for investment portfolio management and risk management strategies in the new green economy market.
鉴于人们对气候变化和环境问题的担忧日益加剧，投资者对新的绿色经济市场的兴趣大增。然而，关于这个新领域内的潜在价格泡沫和共同泡沫，现有文献有限。本研究考察了新的绿色经济市场中的价格泡沫和共同泡沫，涵盖了分为三组的 31 个指数：绿色经济市场及其组成部分、地理区域和部门。使用 2005 年 8 月 31 日至 2024 年 5 月 31 日的每日数据，首先应用测试程序来检测各个指数中的价格泡沫期，然后使用逻辑回归来检验价格共同泡沫行为。结果表明，绿色经济市场存在价格泡沫的证据，特别是在太阳能和风力指数中，在 COVID-19 大流行和俄乌冲突期间达到峰值，而水指数则最不容易出现价格泡沫。关于地理区域，美国市场比亚洲或欧洲市场更倾向于出现价格泡沫。一些部门对价格泡沫具有抵抗力。共同泡沫分析显示，风力指数强烈依赖太阳能和水指数的价格泡沫。亚洲的价格泡沫显著影响欧洲和美国的价格泡沫。这些发现对新的绿色经济市场中的投资组合管理和风险管理策略具有重要意义。
