What drives the performance and causality of green bond indices?

References

• Aitkin, M., and R. Foxall. 2003. “Statistical Modelling of Artificial Neural Networks Using the Multi-Layer Perceptron.” Statistics and Computing 13 (3): 227–239. doi:10.1023/A:1024218716736
   Web of Science ®Google Scholar
• Alonso-Conde, A., and J. Rojo-Suárez. 2020. “On the Effect of Green Bonds on the Profitability and Credit Quality of Project Financing.” Sustainability 12 (16): 6695. doi:10.3390/su12166695
   Web of Science ®Google Scholar
• Baker, M., D. Bergstresser, G. Serafeim, and J. Wurgler. 2018. “Financing the Response to Climate Change: The Pricing and Ownership of U.S.” Green Bonds. SSRN Electronic Journal.
   Google Scholar
• Broadstock, D., and L. Cheng. 2019. “Time-varying Relation Between Black and Green Bond Price Benchmarks: Macroeconomic Determinants for the First Decade.” Finance Research Letters 29: 17–22. doi:10.1016/j.frl.2019.02.006
   Web of Science ®Google Scholar
• Chu, Y., D. Hirshleifer, and L. Ma. 2020. “The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies.” The Journal of Finance 75 (5): 2631–2672. doi:10.1111/jofi.12947
   Web of Science ®Google Scholar
• Fama, E., and K. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010
   Web of Science ®Google Scholar
• Granger, C. 1980. “Testing for Causality.” Journal of Economic Dynamics and Control 2: 329–352. doi:10.1016/0165-1889(80)90069-X
   Web of Science ®Google Scholar
• Hammoudeh, S., A. Ajmi, and K. Mokni. 2020. “Relationship Between Green Bonds and Financial and Environmental Variables: A Novel Time-Varying Causality.” Energy Economics 92: 104941. doi:10.1016/j.eneco.2020.104941
   Web of Science ®Google Scholar
• Hung, N. T. 2021. “Green Bonds and Asset Classes: New Evidence from Time-Varying Copula and Transfer Entropy Models.” Global Business Review. p. 097215092110340. doi:10.1177/09721509211034095
   Web of Science ®Google Scholar
• Jin, J., L. Han, L. Wu, and H. Zeng. 2020. “The Hedging Effect of Green Bonds on Carbon Market Risk.” International Review of Financial Analysis 71: 101509. doi:10.1016/j.irfa.2020.101509
   Web of Science ®Google Scholar
• Kanamura, T. 2020. “A Model of Price Correlations Between Clean Energy Indices and Energy Commodities.” Journal of Sustainable Finance & Investment 12 (2): 319–359. doi:10.1080/20430795.2020.1753434.
   Web of Science ®Google Scholar
• Lebelle, M., S. Lajili Jarjir, and S. Sassi. 2020. “Corporate Green Bond Issuances: An International Evidence.” Journal of Risk and Financial Management 13 (2): 25. doi:10.3390/jrfm13020025
   Web of Science ®Google Scholar
• Lee, C. C., C. C. Lee, and Y. Y. Li. 2021. “Oil Price Shocks, Geopolitical Risks, and Green Bond Market Dynamics.” The North American Journal of Economics and Finance 55: 101309. doi:10.1016/j.najef.2020.101309
   Web of Science ®Google Scholar
• MacAskill, S., E. Roca, B. Liu, R. Stewart, and O. Sahin. 2021. “Is There a Green Premium in the Green Bond Market? Systematic Literature Review Revealing Premium Determinants.” Journal of Cleaner Production 280: 124491. doi:10.1016/j.jclepro.2020.124491
   Web of Science ®Google Scholar
• Naeem, M., I. Mbarki, M. Alharthi, A. Omri, and S. Shahzad. 2021. “Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications.” Frontiers in Environmental Science 9: 657533. doi:10.3389/fenvs.2021.657533.
   Web of Science ®Google Scholar
• Németh-Durkó, A., and E. Hegedűs. 2021. “Climate Change in the Capital Markets: A Study of Actively Managed Green Bond Funds.” Financial And Economic Review 5055: 38–64 doi:10.33893/FER.20.4.3864.
   Google Scholar
• Reboredo, J. 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
• Rehman, Mobeen Ur, Ibrahim D. Raheem, Rami Zeitun, Xuan Vinh Vo, and Nasir Ahmad. 2023. “Do Oil Shocks Affect the Green Bond Market?” Energy Economics 117: 106429. doi:10.1016/j.eneco.2022.106429
   Web of Science ®Google Scholar
• Shannon, C. 1948. “A Mathematical Theory of Communication.” Bell System Technical Journal 27 (4): 623–656. doi:10.1002/j.1538-7305.1948.tb00917.x
   Google Scholar
• Sharpe, W. 1964. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” The Journal of Finance 19 (3): 425. doi:10.1111/j.1540-6261.1964.tb02865.x.
   Web of Science ®Google Scholar
• Sinha, A., S. Mishra, A. Sharif, and L. Yarovaya. 2021. “Does Green Financing Help to Improve Environmental & Social Responsibility? Designing SDG Framework Through Advanced Quantile Modelling.” Journal of Environmental Management 292: 112751. doi:10.1016/j.jenvman.2021.112751
   PubMed Web of Science ®Google Scholar