The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.
Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds
Abstract
Abstract The paper examines the inter-relationship between green bonds and other asset markets, including stocks, commodities, clean energy, and conventional bonds over 11 years from 2008 to 2019. The dynamic features of correlation across asset pairs over time and in different frequencies are assessed through the rolling window wavelet correlation approach. We find strong evidence that most correlation emerged and reached a peak in the aftermath of GFC 2007-2009. While comovement among stocks, commodities, and clean energy is found relatively high, the diversification benefit of green bonds is significantly revealed due to its low or negative correlation with stocks and commodities.
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Citations
Cites
Application of the cross wavelet transform and wavelet coherence to geophysical time series
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Do shareholders benefit from green bonds?
Tang, D. Y., & Zhang, Y. (2020) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2018.12.001 · Cited by 1,131
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
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Green bond and financial markets: Co-movement, diversification and price spillover effects
Reboredo, J. C. (2018) · Energy Economics · doi:10.1016/j.eneco.2018.05.030 · Cited by 762
The way to induce private participation in green finance and investment
Taghizadeh-Hesary, F., & Yoshino, N. (2019) · Finance Research Letters · doi:10.1016/j.frl.2019.04.016 · Cited by 745
Financialization, crisis and commodity correlation dynamics
Silvennoinen, A., & Thorp, S. (2013) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2012.11.007 · Cited by 650
Does financial inclusion impact CO2 emissions? Evidence from Asia
Le, T.-H., Le, H.-C., & Taghizadeh-Hesary, F. (2020) · Finance Research Letters · doi:10.1016/j.frl.2020.101451 · Cited by 547
The green bond market: a potential source of climate finance for developing countries
Banga, J. (2019) · Journal of Sustainable Finance & Investment · doi:10.1080/20430795.2018.1498617 · Cited by 465
Network connectedness of green bonds and asset classes
Reboredo, J. C., Ugolini, A., & Aiube, F. A. L. (2020) · Energy Economics · doi:10.1016/j.eneco.2019.104629 · Cited by 348
Is it risky to go green? A volatility analysis of the green bond market
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Metadata
- Authors
- Nguyen, T. T. H., Naeem, M. A., Balli, F., Balli, H. O., & Vo, X. V.
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2021-05
- Volume
- 40
- Pages
- 101739
- ISSN
- 1544-6123 (ISSN-L)
- OpenAlex
- W3081172876
- Cited by
- 452
- References
- 22
- FWCI
- 55.35
- Type
- journal article
- Language
- en
- Open access
- closed
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- Nguyen, T. T. H., Naeem, M. A., Balli, F., Balli, H. O., & Vo, X. V. (2021). Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101739
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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