Are Green Bonds a Good Investment Opportunity for Turbulent Times?

• Authors: Karolina Daszyńska-Żygadło , Jakub Marszałek , Krzysztof Piontek , Ilze Zumente

Abstracts

EN

Theoretical background: The green bonds market is growing rapidly and serving as a source of financing for energy transition, social impact investments, green economy transition, and climate change mitigation projects. It is also an interesting alternative investment opportunity for increasingly conscious investors. Researchers are studying the green bonds market from several perspectives, among others they search for premiums for being green – greenium; they analyse the interconnectedness of conventional and green bonds markets in the search for portfolio diversification opportunities and they consider the usefulness of green bonds in the times of market crisis or turbulences as hedging strategies instruments. Purpose of the article: The purpose of this article is to verify the nature and direction of the relationship between green bonds markets and conventional bonds markets, as well as its permanence during market shocks. Research methods: Our analysis is based on rates of returns from green bonds indices and their respective counterparts in the period between January 2015 and April 2021, we used conditional volatility and dynamic conditional correlation with multivariate Gaussian and T-Student distributions. Main findings: We found similar patterns of behaviour between green and conventional bonds markets, but the green bonds market is riskier than the non-green one and the risk relationship of both bond markets is changing. Our research results lead to the conclusion that investors are more prone to flee from the green bond market and stay in the conventional bond market in times of market shocks such as the outburst of COVID-19 pandemic.

Keywords

EN

sustainable finance; green bonds; pandemic; COVID-19; hedging

• Publisher: Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
• Journal: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
• Year: 2023
• Volume: 57
• Issue: 2
• Pages: 7-25

Dates

published

2023

Contributors

author

Karolina Daszyńska-Żygadło

• Wrocław University of Economics and Business. Faculty of Economics and Finance

• https://orcid.org/0000000347100220

author

Jakub Marszałek

• University of Łódź. Faculty of Management

• https://orcid.org/0000000276651497

author

Krzysztof Piontek

• Wrocław University of Economics and Business. Faculty of Economics and Finance

• https://orcid.org/000000019197561X

author

Ilze Zumente

• Riga Technical University. Faculty of Engineering Economics and Management

• https://orcid.org/000000029129458X

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Identifiers

DOI

10.17951/h.2023.57.2.7-25

Biblioteka Nauki

16729158