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Spillovers and connectedness between green bond and stock markets in bearish and bullish market scenarios
16 references·14 citing·33 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 2020Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds453 cited
  • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited
  • 2022A step forward on sustainability: The nexus of environmental responsibility, green technology, clean energy and green finance417 cited
  • 2016Is it risky to go green? A volatility analysis of the green bond market346 cited
  • 2021

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Does green financing help to improve environmental & social responsibility? Designing SDG framework through advanced quantile modelling
337 cited
  • 2020Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets280 cited
  • 2021COVID-19 and time-frequency connectedness between green and conventional financial markets256 cited
  • Cited by

    • 2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective86 cited
    • 2023The impact of climate policy on U.S. environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness85 cited
    • 2023Return connectedness and multiscale spillovers across clean energy indices and grain commodity markets around COVID-19 crisis79 cited
    • 2024Tail risk contagion and multiscale spillovers in the green finance index and large US technology stocks68 cited
    • 2024Impact of climate policy uncertainty on return spillover among green assets and portfolio implications67 cited
    • 2023Frequency connectedness between DeFi and cryptocurrency markets47 cited
    • 2024Assessing the connectedness between cryptocurrency environment attention index and green cryptos, energy cryptos, and green financial assets47 cited
    • 2024Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R 2 decomposed connectedness measures43 cited
    • 2023Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis41 cited
    • 2024Green bond credit spreads and bank loans in China32 cited
    • 2023Analyzing the static and dynamic dependence among green investments, carbon markets, financial markets and commodity markets29 cited
    • 2023The role of major markets in predicting the U.S. municipal green bond market performance: New evidence from machine learning models28 cited
    • 2025Investigating volatility spillovers: Connectedness between green bonds, conventional bonds, and energy markets26 cited
    • 2024Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication25 cited