Modelling the mean and volatility spillover between green bond market and renewable energy stock market-Reference-Cited by-同舟云学术

Modelling the mean and volatility spillover between green bond market and renewable energy stock market

Published:2022 Issue:3 Volume:4 Page:310-328
ISSN:2643-1092
Container-title:Green Finance
language:
Short-container-title:GF

Author:

Gyamerah Samuel Asante¹²,Owusu Bright Emmanuel³,Akwaa-Sekyi Ellis Kofi⁴

Affiliation:

1. Department of Statistics and Actuarial Science, Kwame Nkrumah University of Science and Technology, Kumasi-Ghana

2. Laboratory for Interdisciplinary Statistical Analysis – Kwame Nkrumah University of Science and Technology (KNUST-LISA), Kumasi-Ghana

3. Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi-Ghana

4. Department of Accounting and Finance, Kwame Nkrumah University of Science and Technology, Kumasi-Ghana

Abstract

<abstract><p>In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volatility spillover effects from the green bond market to the renewable energy stock market and vice-versa. The results from the VAR-BEKK-GARCH model indicate that there exists a uni-directional Granger causality from renewable energy stock prices to green bond prices. While the price of green bonds is positively influenced by its own lagged values and the lagged values of renewable energy stock prices,only the past price value of renewable energy stocks has a positive effect on the current price value. We identified a uni-directional volatility spillover from renewable energy stock prices to green bond prices. However,there was no shock spillover from both sides of the market. This research shows that investors in the green bond market should always consider information from the renewable energy stock market because of the causal link between renewable energy stocks and green bonds.</p></abstract>

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

General Engineering

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