Green bonds and financial markets: Interdependence across different market situations


Gök R., ŞENOL Z., Durgun B., Bouri E.

Journal of Environmental Management, cilt.373, 2025 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 373
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1016/j.jenvman.2024.123408
  • Dergi Adı: Journal of Environmental Management
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, International Bibliography of Social Sciences, PASCAL, Aerospace Database, Agricultural & Environmental Science Database, Aqualine, Aquatic Science & Fisheries Abstracts (ASFA), BIOSIS, CAB Abstracts, Communication Abstracts, Environment Index, Geobase, Greenfile, Index Islamicus, Metadex, Pollution Abstracts, Public Affairs Index, Veterinary Science Database, Civil Engineering Abstracts
  • Anahtar Kelimeler: Bitcoin, crude oil, Ethereum, Gold, Green and conventional bonds, Islamic and conventional stocks, Quantiles, Safe-haven
  • Sivas Cumhuriyet Üniversitesi Adresli: Evet

Özet

This study examines the multifaceted return interdependence between green bonds and various assets and markets (conventional bonds, Islamic and conventional stocks, Bitcoin, Ethereum, crude oil, and gold), covering various market conditions. Daily data are from January 11, 2016 to February 12, 2024, and the methods employed include quantile-on-quantile return connectedness (QQC), cross-quantilogram (CQ), and Granger causality in quantiles (GC), which allow us to make inferences about the safe-haven ability of green bonds. The QQC results establish that the connectedness at directly related quantiles is more pronounced than those of inversely related quantiles for all cases. The degree of return connectedness is highest with conventional bonds, followed by gold and stocks. Green bonds act as the net transmitter of spillover shocks to Bitcoin and gold markets, whereas it serves as the receiver of shocks from the remaining markets. The CQ results indicate that positive returns in green bonds significantly follow negative returns in conventional bonds 5 days later, suggesting that green bonds have a one-week lagged safe-haven ability. The GC from green bonds is bidirectional and mostly intensified in extreme quantiles with oil, cryptocurrencies, and conventional stocks, but unidirectional and visible with Islamic stocks during market downturns.