全球市场绿色股票和传统股票的波动传导和对冲策略

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103727

Renata Karkowska , Szczepan Urjasz

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引用次数: 0

摘要

为了确保气候倡议的融资，最大限度地降低与绿色投资相关的风险并吸引致力于稳健、可持续、低碳经济的投资者至关重要。基于这一需求，本研究调查了美国、欧洲和中国的绿色股票与传统股票之间的波动传导，并评估了绿色投资对冲策略的有效性。我们选择了 2016 年 6 月 1 日至 2023 年 12 月 31 日这一时期，以捕捉影响全球市场的重大事件，如环境法规、COVID-19 大流行病和俄乌战争等，从而全面了解各种条件下的市场动态。我们采用 Diebold 和 Yilmaz（2014 年）的方法，使用 TVP-VAR 模型分析市场关联性。此外，我们还利用多元投资组合技术来评估对冲策略的有效性。我们的研究结果表明，美国市场是波动的主要传播者，而中国绿色股票市场则是净接收者。这表明，采用风险对冲和投资组合多样化策略能带来巨大收益。这项研究强调了了解股票市场相互关联的动态对全球投资者和政策制定者的重要性。通过了解这些关系，投资者可以更好地管理风险并做出明智决策，而政策制定者则可以制定战略，支持稳定和有弹性的金融体系，促进可持续投资。

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Volatility transmission and hedging strategies across green and conventional stocks in global markets

To secure financing for climate initiatives, it is crucial to minimize the risk associated with green investments and attract investors committed to a robust, sustainable, low-carbon economy. Motivated by this need, this study investigates the volatility transmission between green and conventional stocks in the US, Europe, and China, and evaluates the effectiveness of hedging strategies for green investments. The period from June 1, 2016, to December 31, 2023, was selected to capture significant events impacting global markets, such as environmental regulations, the COVID-19 pandemic, and the Russia-Ukraine war, providing a comprehensive view of market dynamics under various conditions.

We adopted the Diebold and Yilmaz (2014) approach using a TVP-VAR model to analyze market connectedness. Additionally, we utilize multivariate portfolio techniques to assess the effectiveness of hedging strategies. Our findings reveal that the US market is the primary transmitter of volatility, while the Chinese green stock market acts as a net receiver. This indicates substantial benefits from employing risk hedging and portfolio diversification strategies.

The study underscores the importance of understanding the interconnected dynamics of stock markets for global investors and policymakers. By comprehending these relationships, investors can better manage risks and make informed decisions, while policymakers can develop strategies to support stable and resilient financial systems that foster sustainable investment.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.