Market Efficiency and Volatility Persistence of Green Investments Before and During the COVID-19 Pandemic-Reference-Cited by-同舟云学术

Market Efficiency and Volatility Persistence of Green Investments Before and During the COVID-19 Pandemic

Published:2023-01-31 Issue:1 Volume:4 Page:
ISSN:2652-8681
Container-title:Asian Economics Letters
language:en
Short-container-title:

Author:

Yaya OlaOluwa¹²^ORCID,Akano Rafiu¹³,Adekoya Oluwasegun⁴

Affiliation:

1. University of Ibadan, Ibadan, Nigeria

2. Centre for Econometrics and Applied Research, Ibadan, Nigeria

3. University of Abuja, Abuja, Nigeria

4. University of Maine, United States

Abstract

Using a nonlinear I(d) framework with Chebyshev polynomial in time, we investigate the market efficiency and volatility persistence of five green investments before and during the COVID-19 pandemic. Our results show that, except for the MSCI global green building index, green investments are more efficient and exhibit higher volatility persistence before the crisis, as compared to the crisis period. Thus, green investors are likely to make arbitrage profits during the pandemic.

Publisher

Asia-Pacific Applied Economics Association

Subject

General Medicine

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