Return and volatility spillovers among oil price shocks and international green bond markets

Document Type

Article

Source of Publication

Research in International Business and Finance

Publication Date

4-1-2024

Abstract

We analyse the spillover effects between oil price shocks and green bonds issued in twelve developed economies. We decompose oil price shocks into demand, risk and supply shocks. We employ daily data from December 2008 to June 2022 enabling us to cover major global crisis episodes such as the global financial crisis, European sovereign debt crisis, Covid-19 pandemic, Russia-Ukraine conflict, and the corresponding boom and bust in energy markets. Our results show the dominance of the US and the European green bond markets as the main contributors to return and volatility spillovers among international green bonds, respectively. The degree of connectedness among markets varies over time with a more pronounced effect on returns during turbulent periods. Oil shocks exhibit a relatively low degree of connectedness with green bonds implying potential diversification attributes. This result is, particularly, supported in the case of green bond markets of USA, Euro, Denmark and Hong-Kong.

ISSN

0275-3384

Publisher

Elsevier BV

Volume

69

First Page

102254

Last Page

102254

Disciplines

Business

Keywords

Oil price shocks, Green bonds, International markets, Volatility spillovers, Return spillovers

Indexed in Scopus

no

Open Access

no

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