绿色债券对金属和金银市场的溢出效应

IF 2.5 Q2 ECONOMICS
Kajal Panwar, Miklesh Prasad Yadav, Neha Puri
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引用次数: 0

摘要

本文利用 2014 年 6 月 16 日至 2022 年 2 月 25 日的每日观测数据,研究绿色债券与金属市场和金银市场的溢出效应。本文用 S&P 绿色债券(GBD)来衡量绿色债券,用铜(CPR)和铝(ALM)来代表金属市场;用白银(SLV)和黄金(GLD)来衡量金银市场。结果表明,绿色债券在短期和长期内对铝、白银和黄金都有溢出效应,而绿色债券对铜的溢出效应只在长期内出现。由于缺乏溢出效应,短期内考虑绿色债券和铜可提供多样化机会。本研究为金属和金银市场的各利益相关者提供了启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Spillover Effect of Green Bond with Metal and Bullion Market

Spillover Effect of Green Bond with Metal and Bullion Market

This paper examines the spillover of green bond with metal market and bullion market using the daily observation from 16/06/2014 to 25/02/2022. The S&P Green Bond (GBD) is used to measure the Green bond while Copper (CPR) and Aluminium (ALM) are used to represent the metal market; the bullion market is measured by Silver (SLV) and Gold (GLD). The result reveals that there is spillover from Green bond to Aluminium, Silver and Gold both in the short run and long while the spillover of Green bond with Copper is only spotted in long run. It furnishes diversification opportunities considering Green bond and Copper in short run due to its absence of spillover. This study offers an implication to various stakeholder of the metal and bullion market.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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