 Return and volatility spillovers among oil price shocks and international green bond marketsZaghum Umar, Sinda Hadhri, Emmanuel Abakah, Muhammad Usman and Muhammad Umar Research in International Business and Finance, 2024, vol. 69, issue C Abstract: We analyse the spillover effects between oil price shocks and green bonds issued in twelve developed economies. We decompose oil price shocks into demand, risk and supply shocks. We employ daily data from December 2008 to June 2022 enabling us to cover major global crisis episodes such as the global financial crisis, European sovereign debt crisis, Covid-19 pandemic, Russia-Ukraine conflict, and the corresponding boom and bust in energy markets. Our results show the dominance of the US and the European green bond markets as the main contributors to return and volatility spillovers among international green bonds, respectively. The degree of connectedness among markets varies over time with a more pronounced effect on returns during turbulent periods. Oil shocks exhibit a relatively low degree of connectedness with green bonds implying potential diversification attributes. This result is, particularly, supported in the case of green bond markets of USA, Euro, Denmark and Hong-Kong. Keywords: Green bonds; Oil price shocks; Dynamic spillover effect; Covid-19; Russia-Ukraine conflict (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000461 DOI: 10.1016/j.ribaf.2024.102254 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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