Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2410.15751 |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866916447764086784 |
|---|---|
| author | Ferrer, Roman Benitez, Rafael Bolos, Vicente J. |
| author_facet | Ferrer, Roman Benitez, Rafael Bolos, Vicente J. |
| contents | This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The~empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and investment horizon considered. However, despite their common climate-friendly nature, there is no a remarkable association between green bonds and green stocks. This means that these green investments constitute basically two independent asset classes, with a distinct risk-return profile and aimed at a different type of investor. Furthermore, green financial products have a weak connection with high-yield corporate bonds and crude oil. These findings can have important implications for investors and policy makers in terms of investment decision, hedging strategies, and sustainability and energy policies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_15751 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis Ferrer, Roman Benitez, Rafael Bolos, Vicente J. Numerical Analysis 42C40 This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The~empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and investment horizon considered. However, despite their common climate-friendly nature, there is no a remarkable association between green bonds and green stocks. This means that these green investments constitute basically two independent asset classes, with a distinct risk-return profile and aimed at a different type of investor. Furthermore, green financial products have a weak connection with high-yield corporate bonds and crude oil. These findings can have important implications for investors and policy makers in terms of investment decision, hedging strategies, and sustainability and energy policies. |
| title | Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis |
| topic | Numerical Analysis 42C40 |
| url | https://arxiv.org/abs/2410.15751 |