{"title":"绿色债券的多样化价值：来自中国的新证据","authors":"You Zhou , Lichao Lin , Ziling Huang","doi":"10.1016/j.najef.2024.102254","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p><p>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.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102254"},"PeriodicalIF":3.8000,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Diversification value of green Bonds: Fresh evidence from China\",\"authors\":\"You Zhou , Lichao Lin , Ziling Huang\",\"doi\":\"10.1016/j.najef.2024.102254\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p><p>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.</p></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":\"74 \",\"pages\":\"Article 102254\"},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2024-07-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940824001797\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940824001797","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Diversification value of green Bonds: Fresh evidence from China
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.
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.
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