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• We examine whether green assets can hedge against the EPU. • Asymmetric time-varying connectedness and EGARCH models are performed on daily data. • An evident asymmetric connectedness exists between green assets and EPU. • Green bond, green stocks, and carbon emission allowance can hedge against EPU. • The MVP and MCoP approaches are preferred in pre- and post-COVID-19 period, respectively. This paper examines whether green assets can hedge against economic policy uncertainty (EPU) via asymmetric time-varying connectedness and EGARCH models. Using daily data in China spanning from March 2014 to June 2022, we find that (1) an evident asymmetric connectedness exists between green assets and EPU. (2) Green bond, carbon emission allowances and some green stocks can act as hedging or safety-haven assets against EPU, and the conclusion remains robust to an alternative proxy of EPU. (3) The minimum variance and connectedness portfolios provide superior performance during pre- and post-COVID-19 periods, respectively, thereby carrying substantial portfolio implications. [ABSTRACT FROM AUTHOR]

There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday, 14% on Tuesday, 60% on Wednesday, 6% on Thursday, and 28% on Friday. This variation is not predicted by any prevailing hypothesis on why there is a leverage effect. [ABSTRACT FROM AUTHOR]

• We analyze the impact of the COVID-19 outbreak on the variance of stock returns. • We employ series of major stock market and sector indices. • We use the Skewed-t distribution with EGARCH augmented with a volatility shift dummy. • We show there is a shift in the return distribution variance caused by the pandemic. • We oversee the COVID-19 e on downside risk measured by Value-at-Risk. We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen's Skewed-t distribution with EGARCH extended to control for sudden changes in volatility. We oversee the COVID-19 effect on measures of downside risk such as the Value-at-Risk. Our results show that there is a significant sudden shift up in the return distribution variance post the announcement of the pandemic, which must be explained properly to obtain reliable measures for financial risk management. [ABSTRACT FROM AUTHOR]