Diversification value of green Bonds: Fresh evidence from China

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-07-31 DOI:10.1016/j.najef.2024.102254

You Zhou , Lichao Lin , Ziling Huang

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Abstract

This study conducts a comprehensive analysis of the static correlation between the Chinese green bond market and key capital markets-including the stock, money, foreign exchange, and gold markets—using daily data spanning from 2013 to 2022. Utilizing maximum likelihood estimation methods, our findings indicate that the Student’s t Copula model is the most suitable for capturing these relationships, revealing a relatively low static correlation among these markets. Furthermore, for dynamic dependence analysis and cross-validation, the Student’s t-GAS Copula model is applied, which corroborates the initial findings. Consequently, this suggests that the Chinese green bond market could become one of the potentially diversification options for investing in the Chinese financial landscape.

Abbreviations: ICMA, International Capital Market Association; GB, green bonds; CB, China Bond Government Bond Total Return Index; HS300, CSI 300 Index; DR7, 7-day interbank pledged repo rate; CNY, Onshore RMB to USD exchange rate; AU95, AU9995 gold price.

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绿色债券的多样化价值：来自中国的新证据

本研究利用 2013 年至 2022 年的每日数据，对中国绿色债券市场与主要资本市场（包括股票市场、货币市场、外汇市场和黄金市场）之间的静态相关性进行了全面分析。利用最大似然估计方法，我们的研究结果表明，Student's t Copula 模型最适合捕捉这些关系，揭示了这些市场之间相对较低的静态相关性。此外，为了进行动态依赖性分析和交叉验证，我们采用了 Student's t-GAS Copula 模型，这也证实了最初的发现。因此，这表明中国绿色债券市场有可能成为中国金融市场投资多样化的选择之一：缩写：ICMA，国际资本市场协会；GB，绿色债券；CB，中债国债总收益指数；HS300，沪深 300 指数；DR7，银行间 7 天质押式回购利率；CNY，在岸人民币兑美元汇率；AU95，AU9995 黄金价格。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.