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The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market
This study employs mainly the Bayesian DCC-MGARCH model and frequency connectedness methods to respectively examine the dynamic correlation and volatility spillover among the green bond, clean energy, and fossil fuel markets using daily data from 30 June 2014 to 18 October 2021. Three findings arose from our results: First, the green bond market has a weak negative correlation with the fossil fuel (WTI oil, Brent oil, natural gas, heating oil, and gasoline) and clean energy markets, which means that green bonds play a critical hedging role against fossil fuel and clean energy. Second, the green bond and clean energy are net volatility receivers from WTI crude oil and heating oil for the short term, indicating that investors and policymakers need to pay attention to the WTI oil volatility spillover risk when promoting green bonds and clean energy. Third, the correlation and volatility spillover from WTI crude oil to green bonds and clean energy is stronger than that of Brent oil, which implies that investors and policymakers need to consider the price movements of WTI crude oil more than Brent oil when investing in the green bond market. In summary, our conclusion is that investors should be aware that green bond investing addresses the two-pronged investment strategy of (i) risk diversification and (ii) carbon mitigation. Thus, this study can provide essential information for energy investors and policymakers to achieve sustainable investment.
The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market
This study employs mainly the Bayesian DCC-MGARCH model and frequency connectedness methods to respectively examine the dynamic correlation and volatility spillover among the green bond, clean energy, and fossil fuel markets using daily data from 30 June 2014 to 18 October 2021. Three findings arose from our results: First, the green bond market has a weak negative correlation with the fossil fuel (WTI oil, Brent oil, natural gas, heating oil, and gasoline) and clean energy markets, which means that green bonds play a critical hedging role against fossil fuel and clean energy. Second, the green bond and clean energy are net volatility receivers from WTI crude oil and heating oil for the short term, indicating that investors and policymakers need to pay attention to the WTI oil volatility spillover risk when promoting green bonds and clean energy. Third, the correlation and volatility spillover from WTI crude oil to green bonds and clean energy is stronger than that of Brent oil, which implies that investors and policymakers need to consider the price movements of WTI crude oil more than Brent oil when investing in the green bond market. In summary, our conclusion is that investors should be aware that green bond investing addresses the two-pronged investment strategy of (i) risk diversification and (ii) carbon mitigation. Thus, this study can provide essential information for energy investors and policymakers to achieve sustainable investment.
The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market
Chaofeng Tang (author) / Kentaka Aruga (author) / Yi Hu (author)
2023
Article (Journal)
Electronic Resource
Unknown
Metadata by DOAJ is licensed under CC BY-SA 1.0
Correction: Correlation and price spillover effects among green assets
| Springer Verlag | 2024