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Impact of Green Bonds on Traditional Equity Markets

Ahmed Bouteska, Faruk Bhuiyan, Taimur Sharif, Badir Miftah, Mohammad Abedin

Research in International Business and Finance

Swansea University Author: Mohammad Abedin

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DOI (Published version): 10.1016/j.ribaf.2024.102606

Abstract

This study examines the broader U.S. green bond market, with focus on its association with the U.S traditional equity market from 2016–2021. For this purpose, we use the S&P Green Bond Index, the S&P U.S. Aggregate Bond Index, and the S&P 500 to build the connection between the markets b...

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Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa67917
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Abstract: This study examines the broader U.S. green bond market, with focus on its association with the U.S traditional equity market from 2016–2021. For this purpose, we use the S&P Green Bond Index, the S&P U.S. Aggregate Bond Index, and the S&P 500 to build the connection between the markets based on both univariate generalized autoregressive conditional heteroskedasticity (GARCH) and multivariate vector autoregression (VAR) models. Our empirical results show that the patterns of returns and the volatility behavior of green bonds included significant changes over the years of study. The findings highlight the importance of the emergence and evolution of the promising green bonds market, thus providing useful policy implications for portfolio and risk management as well as asset pricing. This study contributes to a deeper understanding of the impact of green bonds on equity markets.
Keywords: Green finance, green bonds, green financial investments, equity markets, GARCH model, VAR model
College: Faculty of Humanities and Social Sciences

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