Multifractal Cross-Correlations between Green Bonds and Financial Assets

Fernandes, Leonardo Silva; Silva, José W L; Araujo, Fernando Henrique Antunes de; Tabak, Benjamin Miranda

doi:10.2139/ssrn.4227059

Cited by 1 publication

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“…The evidence reveals that green bonds and financial markets are highly integrated in the long run. Fernandes et al [13] analyzed multifractality for green bonds, stock sector indices, and US economic sector bonds. They found that bond indices for consumer staples and equity indices for information technology and the real state sector can be used to hedge investments in green bonds.…”

Section: Introductionmentioning

confidence: 99%

Do Green Bonds Perform Better Than Conventional Bonds?

BERK,

SARILI,

YILDIRTAN

2023

WIT Transactions on Ecology and the Environment

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This study examines the performance of green bonds, utilizing the Standard and Poor's (S&P) Green Bond Index, Bloomberg Green Bond Index, S&P US Aggregate Bond Index, and Bloomberg Barclays US Aggregate Bond Index as benchmarks. Monthly data spanning from July 2014 to February 2023 is analyzed. Key performance ratios including the Sharpe Ratio, Treynor Ratio, and Jensen Performance Ratio are computed for portfolio comparison. Our findings indicate that the S&P Green Bond Index outperformed compared to the Bloomberg Green Bond Index. Furthermore, we calculate and regress the S&P and Bloomberg Barclay's greenium series against the consumer price index, Federal Reserve interest rates, and S&P 500 market returns. The study's findings indicate that higher Federal Reserve interest rates and increased market returns cause a decrease in the yield gap between conventional and green bonds. Moreover, a rise in the Consumer Price Index is caused by a widening of the yield disparity between these two types of bonds. The results highlight an average investor loss of 2% when investing in green bonds, in contrast to conventional bonds.

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Section: Introductionmentioning

confidence: 99%