The roles of oil shocks and geopolitical uncertainties on China’s green bond returns

Lee, Chi‐Chuan; Tang, Huayun; Li, Ding

doi:10.1016/j.eap.2022.03.008

Cited by 83 publications

(19 citation statements)

References 59 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The emergence of the second strand of literature was triggered by the introduction of Caldara and Iacoviello's [ 21 ] geopolitical risk index (GPR), which is based on computerized text searches. This GPR index has been employed in examining the influence of geopolitical risk on different asset types, both conventional and unconventional [ [38] , [39] , [40] , [41] , [42] ]. Choi [ 43 ] documents significant and strong power comovements between the volatilities of North-East Asian stocks and GPR.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict

Bossman¹,

Gubareva²

2023

Heliyon

View full text Add to dashboard Cite

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict

Bossman¹,

Gubareva²

2023

Heliyon

View full text Add to dashboard Cite

“…Refs. [ [31] , [32] , [33] , [34] , [35] ], and the references therein). Among regional stock markets, Choi [ 36 ] notes significant and high power comovements between GPR and the volatilities of North-East Asian stocks.…”

Section: Literature Reviewmentioning

confidence: 99%

Emerging markets equities’ response to geopolitical risk: Time-frequency evidence from the Russian-Ukrainian conflict era

Agyei¹

2023

Heliyon

View full text Add to dashboard Cite

“…Azhgaliyeava et al ( 2022) find the effect of oil supply shocks on the green finance market is significant compared with the impact on the non-green finance market. Lee et al (2022c) show that the unexpected active fluctuations in oil prices result in an elevation in GPR and a decline in green bond returns. Tian et al (2022) show that oil price impacts are inactively connected with China's green bond returns.…”

Section: Literature Review and Hypothesis Development 1oil Market And...mentioning

confidence: 99%

Oil Price Shocks, Economic Policy Uncertainty, and Green Finance: A Case of China

Wang

Umar

et al. 2022

Technological and Economic Development of Economy

View full text Add to dashboard Cite

This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China’s green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China’s green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market.

show abstract

The roles of oil shocks and geopolitical uncertainties on China’s green bond returns

Cited by 83 publications

References 59 publications

Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict

Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict

Emerging markets equities’ response to geopolitical risk: Time-frequency evidence from the Russian-Ukrainian conflict era

Oil Price Shocks, Economic Policy Uncertainty, and Green Finance: A Case of China

Contact Info

Product

Resources

About