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

Shanglei Chai Orcid Logo, Wenjun Chu, Zhen Zhang, Zhilong Li, Abedin Abedin

Annals of Operations Research

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1007/s10479-021-04452-y

Abstract

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 co...

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Published in: Annals of Operations Research
ISSN: 0254-5330 1572-9338
Published: Springer Science and Business Media LLC
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URI: https://cronfa.swan.ac.uk/Record/cronfa64233
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first_indexed 2023-09-20T10:26:04Z
last_indexed 2023-09-20T10:26:04Z
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spelling v2 64233 2023-08-31 Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF 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. Journal Article Annals of Operations Research Springer Science and Business Media LLC 0254-5330 1572-9338 Green bonds, Clean energy market, Stock price, COVID-19 pandemic, TVP-VAR 0 0 0 0001-01-01 10.1007/s10479-021-04452-y http://dx.doi.org/10.1007/s10479-021-04452-y COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University This work was supported by the National Natural Science Foundation of China (Nos. 71704098, 71971039, 72001191, 72003110), and the Natural Science Foundation of Henan Province (No. 202300410442). 2023-10-03T17:33:17.7978181 2023-08-31T17:35:37.3731637 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Shanglei Chai 0000-0001-6647-5613 1 Wenjun Chu 2 Zhen Zhang 3 Zhilong Li 4 Abedin Abedin 5
title Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
spellingShingle Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
Abedin Abedin
title_short Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
title_full Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
title_fullStr Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
title_full_unstemmed Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
title_sort Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Shanglei Chai
Wenjun Chu
Zhen Zhang
Zhilong Li
Abedin Abedin
format Journal article
container_title Annals of Operations Research
institution Swansea University
issn 0254-5330
1572-9338
doi_str_mv 10.1007/s10479-021-04452-y
publisher Springer Science and Business Media LLC
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1007/s10479-021-04452-y
document_store_str 0
active_str 0
description 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.
published_date 0001-01-01T17:33:19Z
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score 11.037166

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