Dynamic linkages among oil price, green bond, carbon market and low-carbon footprint company stock price: Evidence from the TVP-VAR model

A Wavelet Analysis of the Dynamic Connectedness among Oil Prices, Green Bonds, and CO2 Emissions

“…However, the relationship becomes positive during 2018 (short-term and medium-term) and 2022 (long-term). This paper's findings support Li et al (2022), since oil price has a negative effect on the Green Bond Index and carbon price due to higher oil prices may lead to higher consumption of non-fossil energy, and then reducing the demand and willingness of companies to raise green financing. These research findings are also in line with Mensah et al (2019), which provide evidence of causality that runs from the oil returns to the CO 2 futures' returns.…”

“…In the literature review, Marín-Rodríguez et al ( 2022a) can be outlined. In the new trends, in the leaves, there are several methodologies identified which have studied the dynamic relationships among energy markets and assets related to sustainable finance, for example, using Time-Varying Parameter Vector Auto Regression (TVP-VAR) (Li et al 2022), wavelet analysis (Bouoiyour et al 2023;Kassouri et al 2022;Luo et al 2022;Maghyereh et al 2019;Shah et al 2022;Zhou et al 2022), DCC-GARCH and its extensions (Dutta et al 2021;Marín-Rodríguez et al 2022b), Copula functions (Elie et al 2019;Naeem et al 2021a;Wen et al 2017), time-varying conditional analysis comprising hedging effectiveness and optimal hedge ratios (Gustafsson et al 2022), and quantile analysis (Ren et al 2022a(Ren et al , 2022cSaeed et al 2021;Zhang and Zhou 2022).…”

“…Thus, the relationships among oil prices, green bonds, and CO 2 emissions can be classified into these two major trends provided by (i) the authors' keywords and (ii) keywords plus. The first trend (Figure 3a) delves into the bonds among these three variables, including the effects of the COVID-19 disease (Li et al 2022;Marín-Rodríguez et al 2022b). In this trend, the keywords COVID-19, green bonds, oil prices, and CO 2 emissions are precisely leading the trend topics.…”

“…However, a knowledge gap has been identified despite all the advances in studying the previously mentioned relationships with other financial assets; just a few recent studies in the current literature have provided an in-depth analysis of the co-movements among the green bonds, CO 2 emissions, and oil prices simultaneously (Li et al 2022;Marín-Rodríguez et al 2022b). These two studies provide an important foundation for our paper.…”

“…For example, Li et al (2022) found that oil price has a negative effect on the Green Bond Index and that carbon prices positively influence the Carbon Efficiency Index in the short and medium term. Additionally, the Green Bond Index positively affects carbon prices in the short and medium term and negatively impacts the Carbon Efficiency Index.…”