The interrelationship between the carbon market and the green bonds market : Evidence from wavelet quantile-on-quantile method
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
Original language | English |
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Article number | 121611 |
Journal / Publication | Technological Forecasting and Social Change |
Volume | 179 |
Online published | 16 Mar 2022 |
Publication status | Published - Jun 2022 |
Externally published | Yes |
Link(s)
DOI | DOI |
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Attachment(s) | Documents
Publisher's Copyright Statement
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Link to Scopus | https://www.scopus.com/record/display.uri?eid=2-s2.0-85126366540&origin=recordpage |
Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(7159abce-a74c-4a29-a744-e283b10e5f5b).html |
Abstract
The 26th edition of the United Nations climate change conference (COP26) underlines the importance of financial products and markets related to “carbon” (e.g., carbon and green bond markets). We, to our knowledge, are the first to construct a framework based on multiple time scales and market conditions to quantify the interrelationship between the carbon futures and green bond markets. Specifically, we estimate it from short-, medium-, and long-term perspectives and different market conditions by combining the maximum overlap discrete wavelet transform (MODWT) and two quantile methods to decompose the sequences into various frequencies and quantiles. We find that the carbon futures price unilaterally Granger causes the green bond index and empirically analyzes the asymmetric impact of the carbon futures with a two-dimensional quantile model constructed by the quantile-on-quantile (QQ) regression approach. We find positive effects of the carbon futures in the medium to long term and erratic performance in the short term. The effects are more pronounced when both markets are in an extreme state. Our findings enrich the research related to eco-economy and carbon finance, providing a more comprehensive and detailed research framework, and helping others optimize investment portfolios and policy arrangements. © 2022 The Authors.
Research Area(s)
- Carbon futures, Green bond, Quantile granger causality test, Quantile-on-quantile regression, Wavelet analysis
Citation Format(s)
The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method. / Ren, Xiaohang; Li, Yiying; yan, Cheng et al.
In: Technological Forecasting and Social Change, Vol. 179, 121611, 06.2022.
In: Technological Forecasting and Social Change, Vol. 179, 121611, 06.2022.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
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