Affiliation:
1. Faculty of Finance and Banking, VNU University of Economics and Business, Hanoi 100000, Vietnam
Abstract
This article aims to examine the hedging effect of green bonds in the US market, the European market, and the Chinese market on carbon price risk in the European Union Emission Trading System (EU ETS) from 2021 to 2023. By using daily datasets extracted from Bloomberg and the Vector Error Correction Model (VECM), the research provides evidence of the hedging effect of green bonds in all three markets on carbon price risk in the EU ETS. The paper concludes that the hedging ratio is positive for green bonds in the EU and China, while the figure for the US market is negative. Moreover, there is a positive effect of oil prices on carbon returns in EU ETS. Meanwhile, the opposite is found for stock prices.
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