Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis

This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based...

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Published inMathematics (Basel) Vol. 9; no. 8; p. 900
Main Authors Ferrer, Román, Benítez, Rafael, Bolós, Vicente J.
Format Journal Article
LanguageEnglish
Published Basel MDPI AG 01.04.2021
Subjects
Alternative energy sources
Bond markets
Bonding strength
Climate change
conventional bonds
Coronaviruses
Corporate bonds
Crude oil
Crude oil prices
Empirical analysis
Energy efficiency
Environmental impact
Financial instruments
Food science
general stocks
green bonds
Green buildings
green stocks
Market potential
Network analysis
Stocks
Wavelet analysis
wavelet coherence
United States > US
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Abstract This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and investment horizon considered. However, despite their common climate-friendly nature, there is no a remarkable association between green bonds and green stocks. This means that these green investments constitute basically two independent asset classes, with a distinct risk-return profile and aimed at a different type of investor. Furthermore, green financial products have a weak connection with high-yield corporate bonds and crude oil. These findings can have important implications for investors and policy makers in terms of investment decision, hedging strategies, and sustainability and energy policies.
AbstractList This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and investment horizon considered. However, despite their common climate-friendly nature, there is no a remarkable association between green bonds and green stocks. This means that these green investments constitute basically two independent asset classes, with a distinct risk-return profile and aimed at a different type of investor. Furthermore, green financial products have a weak connection with high-yield corporate bonds and crude oil. These findings can have important implications for investors and policy makers in terms of investment decision, hedging strategies, and sustainability and energy policies.
Author Bolós, Vicente J.
Ferrer, Román
Benítez, Rafael
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  givenname: Vicente J.
  surname: Bolós
  fullname: Bolós, Vicente J.
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Snippet This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional...
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SubjectTerms Alternative energy sources
Bond markets
Bonding strength
Climate change
conventional bonds
Coronaviruses
Corporate bonds
Crude oil
Crude oil prices
Empirical analysis
Energy efficiency
Environmental impact
Financial instruments
Food science
general stocks
green bonds
Green buildings
green stocks
Market potential
Network analysis
Stocks
Wavelet analysis
wavelet coherence
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Title Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis
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