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Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19
16 references·16 citing·48 second hopsampled
Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19 (2022)Diversifier or more? Hedge and safe haven…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…Price connectedness between green bond and financial markets (2019)Price connectedness between g…The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)The effect of pro-environment…Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Is Bitcoin a Hedge or Safe-Ha…Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Green bond and financial mark…Do Shareholders Benefit from Green Bonds? (2018)Do Shareholders Benefit from …Are green bonds priced differently from conventional bonds? (2018)Are green bonds priced differ…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)Stock prices of clean energy …Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Loss Aversion in Riskless Cho…How do firm-level and country-level sustainability governance shape corporate sustainability? Insights from environmentally-sensitive industries (2025)How do firm-level and country…Transitioning to clean energy: Assessing the impact of renewable energy, bio-capacity and access to clean fuel on carbon emissions in OECD economies (2023)Transitioning to clean energy…The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility (2023)The importance of climate pol…Return connectedness and multiscale spillovers across clean energy indices and grain commodity markets around COVID-19 crisis (2023)Return connectedness and mult…Interdependence of clean energy and green markets with cryptocurrencies (2023)Interdependence of clean ener…Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis (2023)Extreme spillover effect of C…Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises (2023)Exploring downside risk depen…Do climate policy uncertainty and investor sentiment drive the dynamic spillovers among green finance markets? (2023)Do climate policy uncertainty…Climate uncertainty and information transmissions across the conventional and ESG assets (2023)Climate uncertainty and infor…Carbon emissions, environmental distortions, and impact on growth (2023)Carbon emissions, environment…Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis (2022)Return and risk spillovers be…Going green: Do green bonds act as a hedge and safe haven for stock sector risk? (2022)Going green: Do green bonds a…Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis (2022)Frequency spillovers between …Determining dependence, centrality, and dynamic networks between green bonds and financial markets (2022)Determining dependence, centr…Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic (2022)Dependence structure and dyna…Asymmetric connectedness between cryptocurrency environment attention index and green assets (2022)Asymmetric connectedness betw…Multivariate GARCH models: a surveyModeling Asymmetric Comovements of Asset Returns (1998)Dynamic Conditional Correlation (2002)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)A Theory of Fairness, Competition, and Cooperation (1999)Time Discounting and Time Preference: A Critical Review (2002)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Testing for jumps in a discretely observed process (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Green bonds for sustainable development: Review of literature on development and impact of green bonds (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Theory of Rational Option Pricing (1973)Toward a New Conception of the Environment-Competitiveness Relationship (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The green advantage: Exploring the convenience of issuing green bonds (2019)Climate Risks and Financial Stability (2020)Dissecting green returns (2022)Corporate financing and investment decisions when firms have information that investors do not have (1984)Common risk factors in the returns on stocks and bonds (1993)Impact of green finance on economic development and environmental quality: a study based on provincial panel data from China (2020)Corporate ESG Profiles and Banking Relationships (2021)Judgment Under Uncertainty: Heuristics and Biases. (1984)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1991Loss Aversion in Riskless Choice: A Reference-Dependent Model6,428 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2018The effect of pro-environmental preferences on bond prices: Evidence from green bonds1,377 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2018Do Shareholders Benefit from Green Bonds?1,157 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 2020Searching for safe-haven assets during the COVID-19 pandemic656 cited
  • 2011Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis622 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2018Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis551 cited

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  • 2019Price connectedness between green bond and financial markets526 cited
  • 2018Are green bonds priced differently from conventional bonds?512 cited
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    • 2022Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic182 cited
    • 2023Do climate policy uncertainty and investor sentiment drive the dynamic spillovers among green finance markets?147 cited
    • 2023Interdependence of clean energy and green markets with cryptocurrencies136 cited
    • 2023Carbon emissions, environmental distortions, and impact on growth135 cited
    • 2023Climate uncertainty and information transmissions across the conventional and ESG assets130 cited
    • 2023Transitioning to clean energy: Assessing the impact of renewable energy, bio-capacity and access to clean fuel on carbon emissions in OECD economies128 cited
    • 2023The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility126 cited
    • 2022Asymmetric connectedness between cryptocurrency environment attention index and green assets109 cited
    • 2023Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises107 cited
    • 2023Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis105 cited
    • 2022Determining dependence, centrality, and dynamic networks between green bonds and financial markets96 cited
    • 2022Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis92 cited
    • 2025How do firm-level and country-level sustainability governance shape corporate sustainability? Insights from environmentally-sensitive industries87 cited
    • 2022Going green: Do green bonds act as a hedge and safe haven for stock sector risk?86 cited
    • 2022Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis79 cited
    • 2023Return connectedness and multiscale spillovers across clean energy indices and grain commodity markets around COVID-19 crisis79 cited