Do green bonds offer a diversification opportunity during COVID-19?—an empirical evidence from energy, crypto, and carbon markets

Yadav, Miklesh Prasad; Kumar, Satish; Mukherjee, Deepraj; Rao‐Melacini, Purnima

doi:10.1007/s11356-022-22492-0

Cited by 19 publications

(4 citation statements)

References 70 publications

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“…Similarly, the study conducted by [50][51][52][53][54] contributed to understanding the connectivity, risk transmission, and portfolio implications of green bonds, carbon pricing, and renewable energy stocks, among others. They highlight the importance of considering socially responsible investment practices, the potential of green bonds as hedging and diversification instruments, and the role of these assets in the global financial recovery and transition to a low-carbon economy.…”

Section: Trunkmentioning

confidence: 99%

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Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research

Marín-Rodríguez,

González-Ruiz,

Valencia-Arias

2023

Sustainability

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The analysis of green bonds and the composition of portfolio investments has gained importance in recent research. The current global context of Sustainable Development Goals requires investors to be environmentally, politically, and socially sustainable, in which the financing of green innovations has occupied a central role. Through the Web of Science and Scopus databases, we focused on analyzing recent trends and further research on green bonds into portfolio investments. The study was performed on 102 studies using Tree of Science (ToS), VOSviewer, and Bibliometrix techniques. We recognize the principal authors and sources, the most influential studies, and the bibliography coupling of studies and authors to identify their importance in the topic analysis. In order to expand the green bond market, particularly at the small and medium enterprise level, more policy instruments are needed. Thus, this study provides an extensive understanding of the research status of the analysis of green bonds and portfolio investments research as an essential input for market participants, researchers, policymakers, and decision-makers.

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Section: Trunkmentioning

confidence: 99%

“…Figure 11 presents the most frequent keywords, including authors' keywords and KeyWords Plus, from 2016 to 2023 (June). Analyzing authors' keywords provides valuable insights into research trends from the researchers' perspective [53]. On the other hand, KeyWords Plus are terms extracted from titles or abstracts [36].…”

Section: Most Frequent Abstractmentioning

confidence: 99%

Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research

Marín-Rodríguez,

González-Ruiz,

Valencia-Arias

2023

Sustainability

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“…Their findings indicate that market-wide herding behavior prevails in falling markets for both liquid and illiquid periods. Yadav et al. (2023) study the potential diversification prospects between the green bonds and the markets of energy, crypto, and carbon using indexes.…”

Section: Literature Reviewmentioning

confidence: 99%

On a regime switching illiquid high volatile prediction model for cryptocurrencies

El-Khatib

Hatemi‐J

2023

JES

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PurposeThe current paper proposes a prediction model for a cryptocurrency that encompasses three properties observed in the markets for cryptocurrencies—namely high volatility, illiquidity, and regime shifts. As far as the authors’ knowledge extends, this paper is the first attempt to introduce a stochastic differential equation (SDE) for pricing cryptocurrencies while explicitly integrating the mentioned three significant stylized facts.Design/methodology/approachCryptocurrencies are increasingly utilized by investors and financial institutions worldwide as an alternative means of exchange. To the authors’ best knowledge, there is no SDE in the literature that can be used for representing and evaluating the data-generating process for the price of a cryptocurrency.FindingsBy using Ito calculus, the authors provide a solution for the suggested SDE along with mathematical proof. Numerical simulations are performed and compared to the real data, which seems to capture the dynamics of the price path of two main cryptocurrencies in the real markets.Originality/valueThe stochastic differential model that is introduced and solved in this article is expected to be useful for the pricing of cryptocurrencies in situations of high volatility combined with structural changes and illiquidity. These attributes are apparent in the real markets for cryptocurrencies; therefore, accounting explicitly for these underlying characteristics is a necessary condition for accurate evaluation of cryptocurrencies.

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“…Brammer & Bennett (2022) suggested that land managers use the growing carbon credits for taking advantage of carbon markets. Yadav et al (2022) concluded the short-run diversification opportunity among green bonds, energy stock, bitcoin, and the carbon market.…”

Section: Introductionmentioning

confidence: 99%

Risk Spillover Effect and Trading Strategy between Carbon Emission Allowance and Carbon-Neutral Index

Cai¹,

Liao²,

Shi³

2023

JSS

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An index based on the carbon-neutral concept stock pool is built, and GARCH-dynamic Copula-CoVaR is used to study the risk spillover effect between the carbon market and the carbon-neutral index. The results show as follows. 1) There is a bi-directional risk spillover between the national carbon emission allowance market and the carbon-neutral index, and the positive correlation is becoming increasingly significant. 2) The correlation between the local carbon market and the carbon-neutral index is weak, and there is an asymmetric risk spillover relationship between them: the former can have a one-way risk impact on the latter. 3) In general, the carbon-neutral index is a net risk receiver, and carbon-neutral concept enterprises face the risk of carbon emission allowance price fluctuation in the process of green transformation. In addition, drawing on the research ideas existed, appropriate "brown assets" and "green assets" in the carbon market and stock market are found, and trading strategies including hedging and pair trading are designed, providing new ideas for investors' asset allocation.

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Do green bonds offer a diversification opportunity during COVID-19?—an empirical evidence from energy, crypto, and carbon markets

Cited by 19 publications

References 70 publications

Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research

Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research

On a regime switching illiquid high volatile prediction model for cryptocurrencies

Risk Spillover Effect and Trading Strategy between Carbon Emission Allowance and Carbon-Neutral Index

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