For the love of the environment: An analysis of Green versus Brown bonds during the COVID-19 pandemic

Hacıömeroğlu, Hande Ayaydın; Danışoğlu, Seza; Güner, Z. Nuray

doi:10.1016/j.frl.2021.102576

Cited by 25 publications

(13 citation statements)

References 22 publications

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“…Also, prior research indicates that the green bond market was more efficient during the outbreak, indicating that green bonds have the ability to serve as a good diversifier for equity investors during periods of market upheaval. A prior study also showed that green bonds could act as safe haven during the outbreak (Hacıömeroğlu et al. , 2021).…”

Section: Discussionmentioning

confidence: 93%

“…The impact of the pandemic on the performance of green bonds has been researched. Green bonds could act as a safe haven during the outbreak (Hacı€ omero glu et al, 2021). Similarly, the green bond market was also more efficient during the epidemic, demonstrating that green bonds can act as a good diversifier for stock investors during market turmoil (Arif Model Functional forms Abbreviation DCC-t-Copula (Antonakakis et al, 2020;Nugroho, 2021b;Patton, 2006) x…”

Section: Functional Forms Of Covariance Matricesmentioning

confidence: 99%

“…The impact of the pandemic on the performance of green bonds has been researched. Green bonds could act as a safe haven during the outbreak (Hacıömeroğlu et al. , 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

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The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio

Nugroho

2022

IJMF

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PurposeThis research aims to select the best-fitting model(s) of equal risk contribution portfolios (ERC). ERC is a robust estimation in the absence of reasonable expectations about future returns.Design/methodology/approachThe portfolio consists of five environmental-friendly exchange-traded funds (ETFs). It applies equal risk optimization, beneficial when the assets are firmly linked, such as the ETFs. This paper operationalizes 20 covariance models in portfolio construction, and a portfolio with classic covariance is the benchmark to beat. To select the best-fitting model(s), the paper applies statistical inferences of the model confidence set. This research also constructs the newly-developed minimum connectedness optimization method and utilizes maximum drawdown as the primary evaluation tool.FindingsThe outbreak of COVID-19 hugely impacts the portfolio drawdown. The results also show that the classic covariance is hard to beat, partly explained by estimation error and model misspecification. This paper suggests that equal risk contribution can benefit from copula-based covariance. It consistently and significantly outperforms the other models in various robustness tests.Practical implicationsIn the absence of substantial predictions about future returns and the existence of strongly linked assets, selecting appropriate portfolio components by risk contribution is a sound choice.Originality/valueThis is the first paper to select the best-fitting model(s) of ERC portfolio during the COVID-19.

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Section: Discussionmentioning

confidence: 93%

Section: Functional Forms Of Covariance Matricesmentioning

confidence: 99%

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The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio

Nugroho

2022

IJMF

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“…Numerous scholars (e.g. Haciomeroglu et al, 2021;Li et al, 2021a, b;Sharma et al, 2022) have stated that the pandemic has had a significant impact on green finance and energy efficiency by affecting the global economic recession, causing closures and travel restrictions and attracting investors less to engage in green projects. According to ILO Policy Brief (2021), ASEAN was among the global epicenters of the virus, and the region's economy was hit hard by the effects of the pandemic.…”

Section: Discussionmentioning

confidence: 99%

Analyzing the green financing and energy efficiency relationship in ASEAN

Quang

Thao

2022

JRF

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PurposeThe need to improve energy efficiency as an essential factor for achieving the Sustainable Development Goals (SDGs) through green financing is one of the most important issues worldwide. It is even more important for ASEAN (Association of Southeast Asian Nations) countries because of their potential for economic growth and the challenge of their environmental problems. This paper therefore addresses the question of whether and how green finance (with the proxy of issued green bonds [GBs]) promotes energy efficiency (with the proxy of energy intensity) in the ASEAN member countries.Design/methodology/approachThe paper runs a two-stage generalized method of moments (GMM) system model for the quarterly data over the period 2017–2020. It also uses a linear interaction model to explore how the pandemic may affect the relationship between green finance and energy efficiency in this region.FindingsThe main results only demonstrate the short-term negative impact of GBs on energy intensity. Furthermore, per capita income, economic integration and renewable energy supply can be used as potential variables to reduce energy intensity, while modernization in ASEAN increases energy intensity. Establishment of digital green finance, long-term planning of a green finance market, trade liberalization and policies to mitigate the negative impacts of COVID-19 are recommended as golden policy implications.Research limitations/implicationsThe present study has several limitations. First, it accounts for explanatory variables by following a number of previous studies. This may lead to omissions or errors. Second, the empirical estimates were conducted for 160 observations due to the repositioning of GBs in ASEAN, which is not bad but not good for an empirical study.Originality/valueTo the best of authors' knowledge, there has not been any in-depth study focusing on the relationship between energy efficiency and green financing for the case of ASEAN economies.

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“…However, the extant findings are not conclusive. Some studies find that the markets linked to the investment in sustainable products exhibit better behavior (whether in terms of returns, risk, volatility or hedging effectiveness) compared to conventional markets during the specific COVID-19 pandemic period examined (e.g., Broadstock et al, 2021 ; Yi et al, 2021 ), while others report either underperformance of the former type of markets (e.g., Cui, Suleman, & Zhang, 2022 ; Dutta, Bouri, & Noor, 2021 ; Folger-Laronde et al, 2022 ), do not find significant differences (e.g., Capelle-Blancard, Desroziers, & Zerbib, 2021 ; Chiappini, Vento, & De Palma, 2021 ; Demers et al, 2021 ; Pavlova & de Boyrie, 2022 ), or even note contradictory results (e.g., Gianfrate, Kievid, & van Dijk, 2021 ; Hacıömeroğlu, Danışoğlu, & Güner, 2022 ; Omura, Roca & Nakai, 2021 ; Umar & Gubareva, 2021 ; Umar et al, 2021 ).…”

Section: Introductionmentioning

confidence: 99%

How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis

Perote

Vicente‐Lorente

Zúñiga‐Vicente

2023

Finance Research Letters

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For the love of the environment: An analysis of Green versus Brown bonds during the COVID-19 pandemic

Cited by 25 publications

References 22 publications

The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio

The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio

Analyzing the green financing and energy efficiency relationship in ASEAN

How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis

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