Back to Search Start Over

Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis

Authors :
Walid, Mensi
Xuan Vinh, Vo
Hee-Un, Ko
Sang Hoon, Kang
Source :
Economic Analysis and Policy. 77:558-580
Publication Year :
2023
Publisher :
Elsevier BV, 2023.

Abstract

This paper examines frequency dynamic spillovers in return and volatility and the hedging ability of Green Bonds, gold, silver, oil, the US dollar index, and volatility index against downside US stock prices before and during the COVID-19 pandemic outbreak and for the short and long run. To do so, we use the Diebold and Yilmaz (2014), the TVP-VAR model, and the frequency spillover index by Baruník and KÅ™ehlík (2018). We show that the short-term volatility spillovers dominate their long-term counterparts. Green Bond is net transmitters of spillovers in the system at the short term and net receivers at the long term. SP500 and silver (USDX and oil) are net transmitters (receivers) of short- and long-term spillovers. Gold and VIX are net receivers of short-term spillovers and net transmitters of long-term spillovers. COVID-19 crisis has more effects on the short-term spillover, which reaches its highest level early 2020. COVID-19 and time horizons lead the direction and the magnitude of spillovers. The Quantile-on-Quantile regression analysis shows significant nonlinear relationships between markets under study. More interestingly, we show that green bonds and gold are safe haven assets for US equity investors during COVID-19. On the other hand, a mixed portfolio offers higher diversification benefits. Finally, hedging effectiveness is dependent on COVID-19 and time horizon.

Details

ISSN :
03135926
Volume :
77
Database :
OpenAIRE
Journal :
Economic Analysis and Policy
Accession number :
edsair.doi.dedup.....619125dae40cf82b4207403f46f2bd41
Full Text :
https://doi.org/10.1016/j.eap.2022.12.010