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Interdependence between green financial instruments and major conventional assets: a wavelet-based network analysis

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Interdependence between green financial instruments and major conventional assets: a wavelet-based network analysis

dc.contributor.author	Ferrer Lapeña, Román
dc.contributor.author	Benitez Suárez, Rafael
dc.contributor.author	Bolós Lacave, Vicente
dc.date.accessioned	2022-04-24T16:11:33Z
dc.date.available	2022-04-25T04:45:06Z
dc.date.issued	2021	es_ES
dc.identifier.citation	Ferrer R, Benítez R, Bolós VJ. Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis. Mathematics. 2021; 9(8):900.	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/82355
dc.description.abstract	This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and investment horizon considered. However, despite their common climate-friendly nature, there is no a remarkable association between green bonds and green stocks. This means that these green investments constitute basically two independent asset classes, with a distinct risk-return profile and aimed at a different type of investor. Furthermore, green financial products have a weak connection with high-yield corporate bonds and crude oil. These findings can have important implications for investors and policy makers in terms of investment decision, hedging strategies, and sustainability and energy policies.	es_ES
dc.language.iso	en	es_ES
dc.subject	green bonds	es_ES
dc.subject	green stocks	es_ES
dc.subject	conventional bonds	es_ES
dc.subject	general stocks	es_ES
dc.subject	wavelet coherence	es_ES
dc.subject	network analysis	es_ES
dc.title	Interdependence between green financial instruments and major conventional assets: a wavelet-based network analysis	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.identifier.doi	10.3390/math9080900	es_ES
dc.accrualmethod	S	es_ES
dc.embargo.terms	0 days	es_ES