COVID-19和绿色和传统金融市场之间的时间频率连接
Muhammad Arif1, Mudassar Hasan2, Suha M Alawi3
1Department of Business Administration, Shaheed Benazir Bhutto University, Shaheed Benazirabad, Pakistan.
Global finance journal
|November 28, 2023
概括
绿色和传统的金融市场显示出更强大的短期联系,特别是在COVID-19等危机期间. 绿色投资的整体连接性高于传统投资,受全球事件的影响.
科学领域:
- * 环境金融 环境金融
- * 金融市场分析
- * 可持续投资 可持续投资
背景情况:
- *绿色金融投资和COVID后绿色复苏的趋势不断增长.
- * 越来越重要的是理解绿色和传统金融市场之间的相互联系.
研究的目的:
- *分析绿色和传统金融市场之间的时间频率连接.
- * 探索固定收益,股票和能源市场之间连接的动态.
- * 确定整个市场的不确定性对连接性的影响,特别是在COVID-19大流行期间.
主要方法:
- * Diebold and Yilmaz (2012) 和 Baruník 和 Křehlík (2018) 的溢出模型的应用.
- *对从2008年1月1日到2020年7月31日的抽样期进行分析.
- *针对COVID-19大流行危机时期的亚样本分析和时间变化分析.
主要成果:
- * 竞争的能源投资没有任何联系;传统债券存在单向溢出效应.
- * 传统投资具有较低的集团间连接性,而绿色投资具有较高的连接性.
- * 连接在短期频率中更为明显,在COVID-19大流行期间,联系更加强烈.
结论:
- * 欧元区债务危机和页岩油革命等全球事件影响了绿色和传统投资之间的关联.
- * 金融稳定对于顺利过渡到绿色投资至关重要,这在COVID-19危机期间尤其突出.
- *短期连接更为重要,在危机期间有特定的例外,例如大流行对债券市场的影响.
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