Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis

Naeem, Muhammad Abubakr; Farid, Saqib; Ferrer, Román; Shahzad, Syed Jawad Hussain

doi:10.1016/j.enpol.2021.112285

Cited by 135 publications

(107 citation statements)

References 58 publications

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“…Moreover, with the Hurst and Rényi exponent, we find that the cross-correlation between series demonstrates solid evidence for the multifractality existence. From this point of view, our empirical findings are in line with prior economic research studies related to multifractality analysis [39][40][41][42][43][44][45]. Second, our study originated from the multifractal perspective, enabling indepth investigation for the cross-correlation dynamics between economic policy uncertainty and carbon emission trading.…”

Section: Introductionsupporting

confidence: 85%

Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

Zhao

2021

Complexity

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This paper investigates the long-term dynamic cross-correlation evolution between US economic policy uncertainty index (USEPU) and Guangdong carbon emission trading price (GDCP) from the multifractal detrended cross-correlation analysis (MF-DCCA) perspective. With the calculation of correlation statistics and fluctuation function, the beginning procedures of MF-DCCA, we find that the cross-correlation between USEPU and GDCP is significant and presents power law property. Also, with the Hurst exponent, we find that the long-horizon correlations between series are persistent. Moreover, we perform Rényi exponent and spectrum singularity check. The empirical findings reveal that the all the correlations are of multifractality and the correlation of GDCP holds the highest degree.

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Section: Introductionsupporting

confidence: 85%

Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

Zhao

2021

Complexity

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“…Some studies focus on the COVID-19 outbreak and financial markets. They examine safe-haven assets (Gupta et al, 2021), market uncertainty and return connectedness (Bouri et al, 2020(Bouri et al, , 2021Naeem et al, 2021a), and market efficiency (Aslam et al, 2020;Naeem et al, 2021b). Phan and Narayan (2020) focus on the link between COVID-19 deaths and stock market returns in 25 countries.…”

Section: Governmental Policies In Response To Covid-19 and Stock Returnsmentioning

confidence: 99%

Government responses to COVID-19 and industry stock returns

Bouri

Naeem

Nor

et al. 2021

Economic Research-Ekonomska Istraživanja

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Governments around the world have responded to the COVID-19 outbreak with a mix of policies. The strictest responses of the New Zealand government are notable, given their abilities to contain and limit the spread of the virus. However, their impacts on stock returns remain unclear. This paper investigates the impact of three policies, namely lockdown, the stimulus package, and the travel ban, on the returns of 14 New Zealand industry stock indices. Using daily data from 1 January 2019 to 25 August 2020, evidence points to a heightened level of integration among the various industry stock indices during the early stages of the pandemic. Only lockdown has had a positive impact on aggregate stock returns, suggesting its ability to raise investors' confidence in the overall stock market. At the industry level, the impact of the three response policies is generally positive but heterogeneous across industry stock indices. Notably, none of the three adopted policies significantly impact technology, healthcare, and real estate returns.

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“…Mensi et al ( 2021 ) document that COVID-19 may lead to the inefficiency of green bond market. However, Naeem et al ( 2021 ) confirm that green bond markets are more efficiency during the COVID-19 pandemic. In addition to the effects on the green bonds and clean energy mentioned above, COVID-19 also affects stock markets (Xu, 2021 ).…”

Section: Introductionmentioning

confidence: 99%

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets. By building a time-varying parameter vector autoregression model (TVP-VAR), the comparison analyses of pre- and during the COVID-19 sample groups verify the existence of nonlinear and dynamic correlation among the three variables. First, prior to the COVID-19 pandemic, the simultaneous impacts of clean energy on stock price increased over time. Second, the results of impulse responses at different horizons indicate that green bonds lead to a short-term increase of clean energy, and it exerts an increasingly positive impacts after the COVID-19 outbreak. The COVID-19 has weakened the negative impacts of green bonds on stock price in the medium term. Finally, through the analysis of impulse responses at different points, we find that stock prices will rise when clean energy is subjected to a positive shock, and this positive effect is stronger during economic recovery period than in the other two periods.

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Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis

Cited by 135 publications

References 58 publications

Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

Government responses to COVID-19 and industry stock returns

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

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