Extreme risk dependence between green bonds and financial markets
| dc.contributor.author | Karim, Sitara | |
| dc.contributor.author | Lucey, Brian M. | |
| dc.contributor.author | Naeem, Muhammad A. | |
| dc.contributor.author | Yarovaya, Larisa | |
| dc.date.accessioned | 2024-05-30T05:17:36Z | |
| dc.date.available | 2024-05-30T05:17:36Z | |
| dc.date.issued | 2024 | |
| dc.description.abstract | The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time-varying optimal copula and extreme risk spillover analysis of dynamic conditional Value-at-Risk. We report significant symmetric (asymmetric) tail-dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe-haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID-19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues. © 2023 The Authors. European Financial Management published by John Wiley & Sons Ltd. Keywords: CoVaR, COVID-19, financial markets, green bonds | |
| dc.identifier.citation | AlNawafleh, E. A. T., Alsheikh, G. A. A., Al-Gharaibeh, S. M., Alhyasat, K. M., & Hamdan, K. B. (2023). Extension of Intentions to Use Booking Mobile Apps With Service Quality and Customer Satisfaction: Insights From Jordanian Hotels. International Journal of eBusiness and eGovernment Studies, 15(1), 47-67. | |
| dc.identifier.doi | https://doi.org/10.1111/eufm.12458 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/5507 | |
| dc.language.iso | en_US | |
| dc.publisher | Wiley Online Library | |
| dc.title | Extreme risk dependence between green bonds and financial markets | |
| dc.type | Article |