Hedging strategies among financial markets
The case of green and brown assets
Bibliographic Data
| ID | 21542009 |
|---|---|
| Authors | Ibrahim D Raheem (0000-0003-2087-2490, York University), Oluyele A Akinkugbe (0000-0002-9329-4540, University of the Witwatersrand), Oluyele Akinkugbe, Hammed Agboola Yusuf (0000-0001-5646-8479, University of Ilorin), Agboola H Yusuf, حسن حیدری (0000-0002-2246-2914, Kharazmi University, corresponding author), Mahdi Ghaemi Asl |
| Year | 2023 |
| Volume | 65 |
| Issue | 2 |
| Pages | 831-873 |
| Publication date | 2023-08-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-023-02358-1 |
| PMID | 36713054 |
| OpenAlex | W4317880803 |
| Language | EN |
| References cited | 33 |
Recognizing the growing importance of the green energy market-renewable energy stocks and bonds-and its classification as a viable financial asset, this paper examines hedging strategies with brown market instruments-gold, oil, bond and the composite S&P500-on the green energy markets. That is, we examine whether, and to what extent brown assets can provide a hedge for green assets, using variants of the multivariate GARCH framework (DCC, ADCC and GO-GARCH). Our dataset spans the period 01/12/2008 to 30/09/2021. To account for the influence of the COVID-19 pandemic, we split the dataset into two-pre-covid (1/12/2008-10/03/2020) and covid-era (11/03/202-30/09/2021). Two key findings emanate from our results: first, conventional bonds and stocks provide the most consistent hedge for investment in the green markets. Second, the results are sensitive to the state of the market-hedging effectiveness declined during the covid period in the green stock market. Among other things, it is recommended that investors include instruments of the green market in portfolio allocation
Bond · Bond market · Business · Economics · Financial economics · Hedge · Portfolio · Energy, Environment, Economic Growth · Market Dynamics and Volatility · Sustainable Finance and Green Bonds · Finance
| Citation velocity | historical |
|---|---|
| Highly cited | No |