How do global financial markets affect the green bond markets? Evidence from different estimation techniques

Gozgor K., KARAKAŞ M.

Economic Research-Ekonomska Istrazivanja, cilt.36, sa.2, 2023 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 36 Sayı: 2
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1080/1331677x.2023.2177703
  • Dergi Adı: Economic Research-Ekonomska Istrazivanja
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, Central & Eastern European Academic Source (CEEAS), EconLit, Geobase, INSPEC, Veterinary Science Database, Directory of Open Access Journals
  • Anahtar Kelimeler: climate change, financial development, financial markets, Green bond markets, machine learning estimations, quantile regression estimations
  • Yıldız Teknik Üniversitesi Adresli: Evet

Özet

The green bond market has significantly improved in recent years thanks to the development of financial instruments and the rising climate change concerns. Given this backdrop, this paper investigates the effects of returns in different financial markets, i.e. the United States Treasury Bonds, the Standard & Poor’s stock market, the United States Dollar, Gold, Crude Oil, and Bitcoin on the Green Bond returns (the Standard & Poor’s Green Bond Index) from September 17, 2014, to September 1, 2022. The results from the robust linear and machine learning estimators indicate that the returns of the United States Treasury Bonds and the United States Dollar are negatively related to the Green Bond returns. Meanwhile, Gold returns positively affect Green Bond returns. The quantile regression estimations of Machado–Santos Silva also show that these findings are valid in different quantiles. The paper also discusses policy implications related to climate change and the development of financial instruments to promote green investments.