Investigating volatility spillovers: Connectedness between green bonds, conventional bonds, and energy markets

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-03-03 DOI:10.1016/j.ribaf.2025.102850

Jelena Jovović , Saša Popović

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Abstract

This paper provides a comprehensive analysis of the volatility of green bonds compared to conventional bonds and the energy market. Utilizing a dataset comprising daily returns of four S&P indices as proxies for chosen markets from October 2013 to October 2023, the study employs advanced methodologies including DCC-GARCH, Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). The findings reveal significant volatility spillovers between green bonds and both conventional bonds and energy markets, with notable differences in short-term and long-term spillover dynamics. The analysis demonstrates that green bonds act both as a transmitter and receiver of volatility, emphasizing their integration into the broader financial system. The analysis contributes to the growing body of knowledge on green bonds by being one of the first to use a ten-year daily returns dataset and to apply advanced techniques which measure existence, direction and magnitude of volatility spillovers between green bonds and selected markets.

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本文全面分析了绿色债券与传统债券和能源市场相比的波动性。该研究利用四个 S&P 指数的日收益率数据集作为所选市场从 2013 年 10 月到 2023 年 10 月的代理变量，采用了包括 DCC-GARCH、Diebold 和 Yilmaz（2012 年）以及 Baruník 和 Křehlík（2018 年）在内的先进方法。研究结果表明，绿色债券与传统债券和能源市场之间存在显著的波动溢出效应，短期和长期溢出动态存在明显差异。分析表明，绿色债券既是波动的传播者，也是波动的接收者，强调了绿色债券与更广泛的金融体系的融合。该分析首次使用了十年的每日回报数据集，并应用先进技术测量了绿色债券和选定市场之间波动溢出的存在、方向和规模，从而为绿色债券知识的不断增长做出了贡献。

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

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

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