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Impact of green bonds on traditional equity markets

Ahmed Bouteska, Faruk Bhuiyan, Taimur Sharif, Badir Miftah, Mohammad Zoynul Abedin, Mohammad Abedin Orcid Logo

Research in International Business and Finance, Volume: 73, Start page: 102606

Swansea University Author: Mohammad Abedin Orcid Logo

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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 2025
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URI: https://cronfa.swan.ac.uk/Record/cronfa67917
first_indexed 2024-10-07T08:47:01Z
last_indexed 2024-12-03T19:47:15Z
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spelling 2024-12-03T15:20:38.9635918 v2 67917 2024-10-07 Impact of green bonds on traditional equity markets 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2024-10-07 CBAE 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. Journal Article Research in International Business and Finance 73 102606 Elsevier BV 0275-5319 1878-3384 Green finance, green bonds, green financial investments, equity markets, GARCH model, VAR model 1 1 2025 2025-01-01 10.1016/j.ribaf.2024.102606 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2024-12-03T15:20:38.9635918 2024-10-07T09:41:40.3206241 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Ahmed Bouteska 1 Faruk Bhuiyan 2 Taimur Sharif 3 Badir Miftah 4 Mohammad Zoynul Abedin 5 Mohammad Abedin 0000-0002-4688-0619 6
title Impact of green bonds on traditional equity markets
spellingShingle Impact of green bonds on traditional equity markets
Mohammad Abedin
title_short Impact of green bonds on traditional equity markets
title_full Impact of green bonds on traditional equity markets
title_fullStr Impact of green bonds on traditional equity markets
title_full_unstemmed Impact of green bonds on traditional equity markets
title_sort Impact of green bonds on traditional equity markets
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Ahmed Bouteska
Faruk Bhuiyan
Taimur Sharif
Badir Miftah
Mohammad Zoynul Abedin
Mohammad Abedin
format Journal article
container_title Research in International Business and Finance
container_volume 73
container_start_page 102606
publishDate 2025
institution Swansea University
issn 0275-5319
1878-3384
doi_str_mv 10.1016/j.ribaf.2024.102606
publisher Elsevier BV
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
document_store_str 0
active_str 0
description 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.
published_date 2025-01-01T20:35:02Z
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score 11.04748

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