重新审视新冠肺炎时期的金融市场相互依存关系:对绿色债券、加密货币、大宗商品和其他金融市场的研究

IF 1.8 Q2 BUSINESS, FINANCE
Amar Rao, Mansi Gupta, G. Sharma, Mandeep Mahendru, Anirudh Agrawal
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引用次数: 17

摘要

本研究的目的是通过研究2011年8月至2021年7月(10年)疫情前后,标普绿色债券指数、标普GSCI原油指数、标普GSCI黄金指数、MSCI新兴市场指数、MSCI世界指数和比特币之间的联系和连通性,为现有文献做出贡献。设计/方法/方法本研究采用时变参数向量自回归和分位数回归方法来了解事件对传统和未来资产类别的影响。为了进一步了解所考虑的资产的连通性,该研究使用了地缘政治风险指数(GPR)和全球经济政策与不确定性指数(GPEU)。调查结果表明,这些市场紧密相连,在大流行后的未来,这种联系只会扩大。疫情爆发前,MSCI全球和新兴市场指数对剩余市场变量的冲击最大。绿色债券指数与黄金表现出较大的相关性和震荡传导。比特币再也不能作为一种好的对冲工具,验证了21世纪技术资产的事实。结果进一步表明,在高GPR和GPEU的极端经济后果下,即使是黄金也不能被视为安全的投资资产。金融市场以及管理和传达其投资逻辑的参与者严重依赖传统资产类别,如石油、天然气、煤炭、核能和相关集团,但这些新兴资产类别正试图实现多元化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets
PurposeThe purpose of the present study is to contribute to the existing literature by examining the nexus and the connectedness between classes S&P Green Bond Index, S&P GSCI Crude Oil Index, S&P GSCI Gold, MSCI Emerging Markets Index, MSCI World Index and Bitcoin, during the pre-and post-Covid period beginning from August 2011 to July 2021 (10 years).Design/methodology/approachThe study employs time-varying parameter vector autoregression and Quantile regression methods to understand the impact of events on traditional and upcoming asset classes. To further understand the connectedness of assets under consideration, the study used Geo-Political Risk Index (GPR) and Global Economic Policy and Uncertainty index (GPEU).FindingsFindings show that these markets are strongly linked, which will only expand in the post-pandemic future. Before the pandemic, the MSCI World and Emerging Markets indices contributed the most shocks to the remaining market variables. Green bond index shows a greater correlation and shock transmission with gold. Bitcoin can no longer be used as a good hedging instrument, validating the fact that the 21st-century technology assets. The results further opine that under extreme economic consequences with high GPR and GPEU, even gold cannot be considered a safe investment asset.Originality/valueFinancial markets and the players who administer and communicate their investment logics are heavily reliant on conventional asset classes such as oil, gas, coal, nuclear and allied groupings, but these emerging asset classes are attempting to diversify.
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来源期刊
CiteScore
4.10
自引率
0.00%
发文量
47
期刊介绍: Treasury and Financial Risk Management ■Redefining, measuring and identifying new methods to manage risk for financing decisions ■The role, costs and benefits of insurance and hedging financing decisions ■The role of rating agencies in managerial decisions Investment and Financing Decision Making ■The uses and applications of forecasting to examine financing decisions measurement and comparisons of various financing options ■The public versus private financing decision ■The decision of where to be publicly traded - including comparisons of market structures and exchanges ■Short term versus long term portfolio management - choice of securities (debt vs equity, convertible vs non-convertible)
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