Oil price shocks, geopolitical risks, and green bond market dynamics

Lee, Chi‐Chuan; Lee, Chien‐Chiang; Li, Yongyi

doi:10.1016/j.najef.2020.101309

Cited by 225 publications

(87 citation statements)

References 77 publications

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“…The lack of a clear definition and the classification of the green label in GB has created difficulties for both issuers and investors in the GB (Hachenberg and Schiereck 2018 ) as well as raising a “What is green?” concern from the stakeholders. The most well-known concern related to this difficulty was the “greenwashing” risk (Lebelle, et al 2020 ) in which a company can issue bonds and label them as green without clarifying the sustainability and environmental friendly extent of these bonds (Lee et al 2021 ); one typical example of this risk is the case of the Repsol green bond controversy in 2017 (MacAskill et al 2020 ). This ambiguity underlines the requirement for the standard setters and policy-makers to develop criteria and guidelines for qualifying GB, as a variety of uncertainties and risks may arise, thus harming the reputation of GB issuers as well delivering other negative implications for the investors and stakeholders (Nanayakkara and Colombage 2019 ).…”

Section: Literature Backgroundmentioning

confidence: 99%

The Development of Green Bond in Developing Countries: Insights from Southeast Asia Market Participants

et al. 2022

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Given the increasing importance of green bond as the main funding source for the Sustainable Development Goals, the green bond is an emerging concept in the region of Southeast Asia. In addition, the concurrent Covid-19 pandemic has caused disruption to the development of green bond around the world. This research explores the current development status of the green bond in Southeast Asian countries. A total of thirty-two semi-structured interviews were held with capital market participants in Southeast Asian countries. The results highlight barriers, opportunities, and regulation difficulties, and expected growth for the development of the green bond market. This research is concluded by indicating several propositions that can be tested in the future to generalize the findings from this work. We thus extend the knowledge of green bond in the financial markets of Southeast Asian countries, which also delivers implications for practitioners and policy-makers regarding the development of green bond in Southeast Asian countries.

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Section: Literature Backgroundmentioning

confidence: 99%

The Development of Green Bond in Developing Countries: Insights from Southeast Asia Market Participants

et al. 2022

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“…The authors show the strongest hedging benefit of GBs against the fluctuation of natural gas and agricultural commodities. Lee et al (2021) investigate the causal relationship between oil prices and GBs in the USA and discover a bidirectional causal relationship between oil prices and GBs for the low quantiles. In a similar fashion, Ferrer et al (2021) explore the time-frequency connectedness among the global GB, financial and energy markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The main objective of the current study is to shed light on the casual associations between the GBs and conventional asset classes, including Bitcoin price, S&P 500, Clean Energy Index, GSCI Commodity Index and 10-year US bond. Our study is relevant, given that the outcomes of the existing literature examining the relationship between GBs and other financial assets are mixed and, in general, are quite ambiguous (Lee et al, 2021;Liu et al, 2021;Park et al, 2020;Reboredo, 2018;, which might be due to the use of different models. Using a time-varying framework, the present study proposes a methodological technique that comprises the time-varying copula and transfer entropy models.…”

Section: Research Objectives and Rationalementioning

confidence: 99%

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Hung

2021

Global Business Review

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The green bond market has gradually developed worldwide since its debut in 2007 and is viewed as a new form of investment. This study explores the time-varying interdependence between green bond and conventional asset classes, namely Bitcoin price, Standard and Poor’s (S&P) 500, Clean Energy Index, Goldman Sachs Commodity Index (GSCI) Commodity Index and 10-year US bond spanning from May 2013 to December 2019, using both time-varying copula and transfer entropy models. We first focus on static and dynamic correlations between the green bond and other assets, and then identify the causal association among them. The findings suggest that green bonds and other assets have conditional time-varying dependence, and dependence is relatively low. Using transfer entropy, further evidence is gained for causal associations between two variables, which is depicted by two categories like mono-direction and bi-direction. Such nexus reveals the transmitter and receiver of return innovations on these markets. These findings make a considerable contribution to policymakers and environmentally friendly investors with green bond positions.

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“…Zhu et al (2016) and Bouoiyour et al (2017) suggest that stock returns are more responsive to oil shocks in oil-exporting countries than oil-importing countries. Lee et al (2020) apply a Granger causality in quantiles approach and show a strong bi-directional causality between oil prices and the green bond index for lower quantiles in the US. Balcilar et al (2020) report that oil uncertainty increases US bond returns and volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test

Mokni

Nakhli²,

Mnari³

et al. 2021

Journal of Economic Integration

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This study examines the causal relationships between oil prices and the MSCI stock index of G7 countries between September 2004 and October 2020. This study is novel in implementing symmetric and asymmetric time-varying causality tests based on the bootstrap rolling-window approach. The results reveal that the causal link between oil prices and G7 stock markets is time-dependent. The periods of bidirectional causality roughly coincide with the global financial crisis and the ongoing COVID-19 pandemic. When asymmetry is accounted for, the results suggest an asymmetric causality between the two markets expressed by different patterns regarding positive and negative oil shocks. The results also indicate symmetric causality during the COVID-19 pandemic. These findings have implications for portfolio design and hedging strategies that are important to both policymakers and investors.

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Oil price shocks, geopolitical risks, and green bond market dynamics

Cited by 225 publications

References 77 publications

The Development of Green Bond in Developing Countries: Insights from Southeast Asia Market Participants

The Development of Green Bond in Developing Countries: Insights from Southeast Asia Market Participants

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test

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