ArticleComputational economics2022
Risk Connectedness Between Green and Conventional Assets with Portfolio Implications.
Article in Computational economics, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 3 papers.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
3 citing papers in PubMed.
- COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs.Energy economics · 2023Article
- Systemic risk contagion of green and Islamic markets with conventional markets.Annals of operations research · 2023Article
- Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index.PloS one · 2022Article
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Authors and funding
3 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
The increasing concerns of investors toward green bonds and their appealing nature of diversification has motivated the current research to study the risk connectedness between green and conventional assets spanning from August 2014 to December 2020. We first estimate the dynamic equi-correlations through DECO-GARCH. Next, we assess the dynamic and static risk connectedness in the median, extreme low, and extreme high quantiles arguing that spillovers vary across different time periods particularly during economically intense time periods. Finally, we analyzed the hedge ratio and hedge effectiveness between green bonds and other assets. We find that equi-correlations are intense during economic shocks such as the Shale oil crisis, Brexit, US interest rate hike, and COVID-19 pandemic. The volatility analysis at average, lower, and upper quantiles also validate time-varying attributes of green and conventional assets. Further, network figures of green and conventional assets identify potential diversification opportunities. Meanwhile, the hedge effectiveness indicates that green bonds are effective hedge for precious metals and cryptocurrencies. Our findings draw multiple implications for policymakers, green investors, financial market participants, and regulatory authorities regarding flight-to-safety during crisis times and maintaining a diverse portfolio to escape potential losses.
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