Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis

Mensi, Walid; Vo, Xuan Vinh; Ko, Hee-Un; Kang, Sang Hoon

doi:10.1016/j.eap.2022.12.010

Cited by 38 publications

(7 citation statements)

References 56 publications

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“…Most of the current research on green finance has focused on two main areas: the significance of green finance in funding the transition to a low-carbon economy and the advantages of green finance in portfolio diversification (Liu). In the context of study into environmentally friendly financial practices, much attention has recently been dedicated to the green bond market (Mensi et al 2023 ). This is because the green bond market is a substantial component of green finance and the fixed-income markets (Braga et al 2021 ).…”

Section: Literature Reviewmentioning

confidence: 99%

RETRACTED ARTICLE: Investigating financialization perspective of oil prices, green bonds, and stock market movement in COVID-19: empirical study of E7 economies

Gao

Zhang

2023

Environ Sci Pollut Res

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The drastic influence of the COVID-19 crisis halted almost every industry and economy and made the quality of doing business in the oil industry and stock markets large. Also, COVID-19 diminished financial and economic performance to a greater extent. This issue still warrants modern solutions. Thus, preceding research inquired about the financialization perspective of oil prices, green bonds, and stock market movement in the COVID-19 crisis. For this, E7 economies’ data is selected to analyze the empirical findings of the research. The findings revealed that the green bonds have a weak link to crude oil, a weak correlation to stocks in the E7 settings, and a strong correlation to gold prices. While stock market return is also little correlated in COVID-19, stock volatility is highly significant in both directions with oil prices and green bonds movement. The hedging ratio has also shown a significant connection with oil prices and green bonds movement in determining the financialization of E7 economies. Hence, the study directs the implications for important industrial planning and policymaking decisions.

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Section: Literature Reviewmentioning

confidence: 99%

RETRACTED ARTICLE: Investigating financialization perspective of oil prices, green bonds, and stock market movement in COVID-19: empirical study of E7 economies

Gao

Zhang

2023

Environ Sci Pollut Res

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“…Specifically, the pandemic led to dramatic volatility in stock prices and increased risks in both global and individual stock markets (Zhang et al, 2020). The appearance of COVID-19 contributes to an increase in the total connectedness among stock markets (Rizwan et al, 2022;Uddin et al, 2022), among stock sectors (Shahzad et al, 2021), and among financial assets (Mensi et al, 2023). These findings, therefore, indicate a strong return integration among financial assets and a rise in systematic risk during the COVID-19 pandemic.…”

Section: Literature Reviewmentioning

confidence: 94%

Connectedness of Vietnamese bank stock returns under the impact of the COVID-19 pandemic

Phu Ha,

Tram Anh,

Hong Thai

2023

Banks and Bank Systems

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The COVID-19 pandemic highlighted the sensitivity of connectedness among bank stock returns in Vietnam. The aim of this study is to examine the strength of this connectedness along with the effect of government lockdown policy and COVID-19 cases on the total connectedness index (TCI) of 16 listed banks on Vietnamese stock exchanges. They are assessed using the database of FiinPro on the banking sector between January 2020 and July 2022, Vietnam Center for Disease Control and Prevention (CDC), and The World Health Organization (WHO) on the COVID-19 pandemic, employing a time-varying-parameter vector autoregressive (TVP-VAR) connectedness framework and the conditional quantile regression model. The results show that at the firm level, there is strong interdependence among bank stock returns with the average TCI being as high as 90.66%. It is also revealed that medium and large-sized banks are receivers of shock, while smaller banks are transmitters. As far as the impact on TCI is concerned, the widespread of the pandemic with the increasing number of COVID-19 cases is significantly negative, whereas the tightening of lockdown is significantly positive. Besides, the degree of the impact varies according to the 95th, 75th, 50th and 25th levels of conditional quantile regression. Based on the study’s findings, individual investors are recommended to thoroughly analyze the connectedness of banks before making investment decisions, while bank regulators should strengthen controls on credit relationships with small banks. Regarding policy makers, it is proposed to apply flexible restrictions and short-term lockdown depending on the actual outbreak of the pandemic. AcknowledgmentThe paper was conducted within the scope of Project QG21.48 of Vietnam National University.

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“…Nevertheless, green investments exhibited a degree of resilience during this period [22], and green portfolios had better hedging [23]. Specifically addressing green bonds, other analyses revealed that they function within the system as net transmitters of spillovers in the short term and as net receivers in the long term [24].…”

Section: Literature Reviewmentioning

confidence: 99%

The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach

Lupu,

Criste

2023

Energies

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Financial markets have the potential to magnify the adverse impacts of carbon-intensive assets, mainly in the case of a swift and unforeseen shift toward a low-carbon economy. Given that green bonds are already in the process of standardization and actively support the funding of environmental goals, this paper aims to explore their relationship with the European banking system. To achieve this objective, we utilize a cross-quantilogram approach, analyzing daily data gathered from July 2014 to January 2021 and examining bi-directional dependence. Our unique contribution lies in revealing the relationships between the green bond index and the stock market dynamics of European banks compared to their relationships with conventional stock market indices, which is a novel endeavor to the best of our knowledge. The results are consistent with prior research findings regarding the relationships between the green bond index and various companies and financial assets. These results confirm that other financial instruments impact green bonds, whereas the influence exerted by green bonds on other assets is minimal. Additionally, our study provides evidence indicating that the COVID-19 pandemic has altered the connections between these financial assets.

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Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis

Cited by 38 publications

References 56 publications

RETRACTED ARTICLE: Investigating financialization perspective of oil prices, green bonds, and stock market movement in COVID-19: empirical study of E7 economies

RETRACTED ARTICLE: Investigating financialization perspective of oil prices, green bonds, and stock market movement in COVID-19: empirical study of E7 economies

Connectedness of Vietnamese bank stock returns under the impact of the COVID-19 pandemic

The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach

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