Driving green bond market through energy prices, gold prices and green energy stocks

Evidence from a non-linear approach

Bibliographic Data

ID15066535
AuthorsLei Yan (0000-0001-8408-5475, Business School, Zhejiang Wanli University, Ningbo, Zhejiang, China), Haiyan Wang (0000-0003-2534-6756, Business School, Zhejiang Wanli University, Ningbo, Zhejiang, China, corresponding author), Seyed Alireza Athari (0000-0003-4918-1597, Department of Business Administration, Faculty of Economics and Administrative Sciences, Cyprus International University, North Nicosia, Turkey), Faraz Atif (Department of Business Administration, Federal Urdu University of Arts, Sciences & Technology, Karachi, Pakistan)
Year2022
Volume35
Issue1
Pages6479-6499
Publication date2022-12-31
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2022.2049977
OpenAlexW4220982030
LanguageEN
Citations received2
References cited76

One of the most controversial concerns among the researchers is the expansion of the green bond markets, so as to reduce environmental pollution. The present study estimates the factors that help drive the global green bond markets, such as energy prices, gold prices, and green energy stocks. The study has applied Quantile Autoregressive Lagged Approach (QARDL) and Quantile Granger Causality test to estimate the causal relationship among the variables for January 2010 and June 2021. The QARDL findings reveal that for all the quantiles, the error correction term is statistically significant with the predicted negative sign. This confirms the existence of a strong long-run equilibrium relationship between the relevant variables and the green bonds market on a global level. The findings revealed that gold and energy prices have a lower effect on the green bonds market on every quantile, and also from the low to medium quantiles, respectively. While at the same time, the green energy stocks have an increasing effect on the green bonds market at higher quantiles. The results of the causal examination using Granger-causality in quantiles show a bi-directional causal relationship between the green bonds, energy prices, gold prices, and green energy stocks in the world economy

Bond · Bond market · Econometrics · Economics · Financial economics · Granger causality · Monetary economics · Quantile · Quantile regression · Energy, Environment, Economic Growth · Market Dynamics and Volatility · Sustainable Finance and Green Bonds · Finance

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Open DOIOpen Access