Tail risk dependence, co-movement and predictability between green bond and green stocks

References

• Abakah, E. J. A., E. Addo, L. A. Gil-Alana, and A. K. Tiwari. 2020. “Re-Examination of International Bond Market Dependence: Evidence from a Pair Copula Approach.” International Review of Financial Analysis 74: 101678. doi:10.1016/j.irfa.2021.101678. 2021.
   Web of Science ®Google Scholar
• Amihud, Y., H. Mendelson, L. H. Pedersen, et al. 2005. ”Liquidity and Asset Prices.” Foundations and Trends® in Finance 1 (4): 269–364. doi:10.1561/0500000003.
   Google Scholar
• Arif, M., M. Hasan, S. M. Alawi, and M. A. Naeem. 2021. “COVID-19 and Time-Frequency Connectedness Between Green and Conventional Financial Markets.” Global Finance Journal 49: 100650. doi:10.1016/j.gfj.2021.100650.
   PubMed Web of Science ®Google Scholar
• Barunik, J., and T. Křehlik. 2017. “Cyclical Properties of Supply-Side and Demand-Side Shocks in Oil-Based Commodity Markets.” Energy Economics 65: 208–218. doi:10.1016/j.eneco.2017.05.003.
   Web of Science ®Google Scholar
• Baruník, J., and T. Kley. 2019. “Quantile Coherency: A General Measure for Dependence Between Cyclical Economic Variables.” The Econometric Journal 22 (2): 131–152. doi:10.1093/ectj/utz002.
   Web of Science ®Google Scholar
• Bolós, V. J., R. Benítez, R. Ferrer, and R. Jammazi. 2017. “The Windowed Scalogram Difference: A Novel Wavelet Tool for Comparing Time Series.” Applied Mathematics and Computation 312: 49–65. doi:10.1016/j.amc.2017.05.046.
   Web of Science ®Google Scholar
• Chatziantoniou, I., E. J. A. Abakah, D. Gabauer, and A. K. Tiwari. 2022. “Quantile Time-Frequency Price Connectedness Between Green Bond, Green Equity, Sustainable Investments and Clean Energy Markets.” Journal of Cleaner Production 132088.
   Google Scholar
• Climate Bonds Initiative. 2019. Green Bond Market Summary. https://www.climatebonds.net/market/data/
   Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74 (366a): 427–431.
   Google Scholar
• Diebold, F. X., and K. Yilmaz. 2012. “Better to Give Than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting 28 (1): 57–66. doi:10.1016/j.ijforecast.2011.02.006.
   Web of Science ®Google Scholar
• Fan, Y., and A. J. Patton. 2014. “Copulas in Econometrics.” Annual Review of Economics 6 (1): 179–200. doi:10.1146/annurev-economics-080213-041221.
   Web of Science ®Google Scholar
• Febi, W., D. Schäfer, A. Stephan, and C. Sun. 2018. “The Impact of Liquidity Risk on the Yield Spread of Green Bonds.” Finance Research Letters 27: 53–59. doi:10.1016/j.frl.2018.02.025.
   Web of Science ®Google Scholar
• Ferrer, R., R. Benítez, and V. J. Bolós. 2021. “Interdependence Between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis.” Mathematics 9 (8): 900. doi:https://doi.org/10.3390/math9080900.
   Web of Science ®Google Scholar
• Gil‐alana, L. A., E. J. A. Abakah, and M. K. Abakah. 2020. Financial Stress Spillover Across Asian Countries 39(2), 146-162 . Review of Financial Economics.
   Google Scholar
• Glomsrød, S., and T. Wei. 2018. “Business as Unusual: The Implications of Fossil Divestment and Green Bonds for Financial Flows, Economic Growth and Energy Market.” Energy for Sustainable Development 44: 1–10. doi:10.1016/j.esd.2018.02.005.
   Web of Science ®Google Scholar
• Granger, C. W., and P. Newbold. 1974. “Spurious Regressions in Econometrics.” Journal of Econometrics 2 (2): 111–120. doi:10.1016/0304-4076(74)90034-7.
   Google Scholar
• Han, H., O. Linton, T. Oka, and Y.-J. Whang. 2016. “The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability Between Time Series.” Journal of Econometrics 193 (1): 251–270. doi:10.1016/j.jeconom.2016.03.001.
   Web of Science ®Google Scholar
• Haq, I., S. Chupradit, and C. Huo. 2021. “Do Green Bonds Act as a Hedge or a Safe Haven Against Economic Policy Uncertainty? Evidence from the USA and China.” International Journal of Financial Studies 9 (3): 40. doi:https://doi.org/10.3390/ijfs9030040.
   Web of Science ®Google Scholar
• Kanamura, T. 2020. “Are Green Bonds Environmentally Friendly and Good Performing Assets?” Energy Economics 104767. doi:10.1016/j.eneco.2020.104767.
   Web of Science ®Google Scholar
• Karpf, A., and A. Mandel. 2017. “Does It Pay to Be Green?” https://ssrn.com/abstract=2923484
   Google Scholar
• Kyrtsou, C., and C. Vorlow. 2009. “Modelling Non-Linear Comovements Between Time Series.” Journal of Macroeconomics 31 (1): 200–211. doi:10.1016/j.jmacro.2008.02.001.
   Web of Science ®Google Scholar
• Larcker, D. F., and E. Watts. 2020. “Where’s the Greenium? (February 12, 2019). Rock Center for Corporate Governance at Stanford University Working Paper No. 239, Stanford University Graduate School of Business Research Paper No.19-14.” Journal of Accounting and Economics 69 (2–3). April–May 2020. https://ssrn.com/abstract=3333847.
   Google Scholar
• Le, T. L., E. J. A. Abakah, and A. K. Tiwari. 2021. “Time and Frequency Domain Connectedness and Spill-Over Among Fintech, Green Bonds and Cryptocurrencies in the Age of the Fourth Industrial Revolution.” Technological Forecasting and Social Change 162: 120382. doi:10.1016/j.techfore.2020.120382.
   PubMed Web of Science ®Google Scholar
• Le, T. L., E. J. A. Abakah, and A. K. Tiwari. 2021. “Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution.” Technological Forecasting and Social Change 162: 120382.
   PubMed Web of Science ®Google Scholar
• Le Quéré, C., R. B. Jackson, M. W. Jones, A. J. Smith, S. Abernethy, and R. M. Andrew, .& G. P. Peters. 2020. “Temporary Reduction in Daily Global CO 2 Emissions During the COVID-19 Forced Confinement.” Nature Climate Change 10 (7): 647–653. doi:10.1038/s41558-020-0797-x.
   Web of Science ®Google Scholar
• Liu, N., C. Liu, B. Da, T. Zhang, and F. Guan. 2021. “Dependence and Risk Spillovers Between Green Bonds and Clean Energy Markets.” Journal of Cleaner Production 279 (4): 123595. doi:10.1016/j.jclepro.2020.123595.
   Web of Science ®Google Scholar
• Nguyen, T. T. H., M. A. Naeem, F. Balli, H. O. Balli, and X. V. Vo. 2021. “Time-Frequency Comovement Among Green Bonds, Stocks, Commodities, Clean Energy, and Conventional Bonds.” Finance Research Letters 40: 101739. doi:10.1016/j.frl.2020.101739.
   Web of Science ®Google Scholar
• Pham, L. 2021. “Frequency Connectedness and Cross-Quantile Dependence Between Green Bond and Green Equity Markets.” Energy Economics 98: 105257. doi:10.1016/j.eneco.2021.105257.
   Web of Science ®Google Scholar
• Reboredo, J. C. 2018. “Green Bond and Financial Markets: Co-Movement, Diversification and Price Spillover Effects.” Energy Economics 74: 38–50. doi:10.1016/j.eneco.2018.05.030.
   Web of Science ®Google Scholar
• Reboredo, J. C., A. Ugolini, and F. A. L. Aiube. 2020. “Network Connectedness of Green Bonds and Asset Classes.” Energy Economics 86: 104629. doi:https://doi.org/10.1016/j.eneco.2019.104629.
   Web of Science ®Google Scholar
• Reboredo, J. C., and A. Ugolini. 2020. “Price Connectedness Between Green Bond and Financial Markets.” Economic Modelling 88: 25–38. doi:10.1016/j.econmod.2019.09.004.
   Web of Science ®Google Scholar
• Tang, D. Y., and Y. Zhang. 2019. “Do Shareholders Benefit from Green Bonds?” Journal of Corporate Finance 61. doi:10.1016/j.jcorpfin.2018.12.001.
   Web of Science ®Google Scholar
• Tiwari, A. K., E. J. A. Abakah, T. L. Le, and D. I. Leyva-de la Hiz. 2021. “Markov-Switching Dependence Between Artificial Intelligence and Carbon Price: The Role of Policy Uncertainty in the Era of the 4th Industrial Revolution and the Effect of COVID-19 Pandemic.” Technological Forecasting and Social Change 163: 120434. doi:10.1016/j.techfore.2020.120434.
   Web of Science ®Google Scholar
• Tiwari, A. K., E. J. A. Abakah, D. Gabauer, and R. A. Dwumfour. 2022. “Dynamic Spillover Effects Among Green Bond, Renewable Energy Stocks and Carbon Markets During COVID-19 Pandemic: Implications for Hedging and Investments Strategies.” Global Finance Journal 51: 100692. doi:10.1016/j.gfj.2021.100692.
   PubMed Web of Science ®Google Scholar
• Uddin, G. S., M. L. Rahman, A. Hedström, and A. Ahmed. 2019. “Cross-Quantilogram-Based Correlation and Dependence Between Renewable Energy Stock and Other Asset Classes.” Energy Economics 80: 743–759. doi:10.1016/j.eneco.2019.02.014.
   Web of Science ®Google Scholar
• Yaya, O. S., X. V. Vo, and H. A. Olayinka. 2021. “Gold and Silver Prices, Their Stocks and Market Fear Gauges: Testing Fractional Cointegration Using a Robust Approach.” Resources Policy 72: 102045. August 2021. doi:10.1016/j.resourpol.2021.102045.
   Web of Science ®Google Scholar
• Zerbib, O. D. 2019. “The Effect of Pro-Environmental Preferences on Bond Prices: Evidence from Green Bonds.” Journal of Banking and Finance 98: 39–60. doi:10.1016/j.jbankfin.2018.10.012.
   Web of Science ®Google Scholar