Quantile time-frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets
Quantile time-frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets
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DOI：
10.1016/j.jclepro.2022.132088
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发表时间：
2022-05-24
影响因子：
11.1
通讯作者：
Tiwari, Aviral Kumar
中科院分区：
文献类型：
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作者：
Chatziantoniou, Ioannis;Abakah, Emmanuel Joel Aikins;Tiwari, Aviral Kumar
在这项研究中，我们提出了一种新的分位数频率连接方法，该方法能够通过分位数和频率来研究传播机制。这种方法允许分析连通性度量，考虑给定分位数的不同频率或给定频率的不同分位数。我们考察了S绿色债券指数、摩根士丹利资本国际全球环境指数、道琼斯全球可持续发展指数和S全球清洁能源指数这四个成熟的环境金融指数在2008年11月28日至2022年1月12日期间的动态整合和回报传递。S绿色债券指数和S全球清洁能源似乎都是冲击的短期和长期净接收者，而摩根士丹利资本国际全球环境指数和道琼斯可持续发展指数世界似乎都是冲击的短期和长期传播者。我们还发现，总连接性指数(TCI)随着时间的推移是异质的，并且依赖于经济事件。此外，尽管时间域TCI在分位数之间是相当对称的，但无论是短期还是长期TCI都不是这样。
In this study, we propose a novel quantile frequency connectedness approach that enables the investigation of propagation mechanisms by virtue of quantile and frequency. This approach allows for the analysis of connectedness measures considering either different frequencies for a given quantile or different quantiles for a given frequency. We investigate dynamic integration and return transmission among a set of four well established environmental financial indices, namely the S&P Green Bond Index, MSCI Global Environment, Dow Jones Sustainability Index World, and S&P Global Clean Energy over the period from November 28th, 2008 to January 12th, 2022. S&P Green Bond Index and S&P Global Clean Energy appear to be both short-term and long-term net receivers of shocks while MSCI Global Environment and Dow Jones Sustainability Index World are both short-term and long-term transmitters of shocks. We also find that total connectedness indices (TCIs) are heterogeneous over time and economic event dependent. Furthermore, while the time-domain TCI is rather symmetric across quantiles, this is not the case for either the short-run or the long-run TCI.