In the context of the rapidly growing demand for green investments and the need to combat climate change,this study contributes to the emerging literature on green investments by exploring the time-frequency connected...In the context of the rapidly growing demand for green investments and the need to combat climate change,this study contributes to the emerging literature on green investments by exploring the time-frequency connectedness between green bonds(GBs)and green equities.Specifically,we examine the degree of connection between GBs and green equities,the extent to which these markets influence each other,and which one is the primary net transmitter versus the net receiver of shocks under diverse market conditions.To accomplish these objectives,we use the wavelet-based Quantile-on-Quantile(QQ),dynamic conditional correlation(DCC),portfolio implications,and Quantile VAR approaches.The results show that GBs and green equities have a strong positive connection,depending on time and frequency domains.However,a negative association between GBs and green equities is observed during periods of crisis,highlighting GBs’ability to hedge green equity portfolios.The portfolio strategies demonstrate that investors require to invest in the Green Economy equity and S&P GB portfolio to reach the highest level of hedging effectiveness.The findings further imply that the Global Water Equity Index transmits the highest spillover to other green assets,while the Green Economy Equity Index receives the most spillover from other assets.The pairwise volatility connectivity reveals that most pairs have minimal quantile dependence,indicating the potential for diversification across the GB and green equity pairs.These findings have significant implications for investors and policymakers concerned with green investments and climate change mitigation.展开更多
This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebo...This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012.https://doi.org/10.1016/j.ijfor ecast.2011.02.006),the spillover asymmetry measures of Barunik et al.(J Int Money Finance 77:39–56,2017.https://doi.org/10.1016/j.jimon fin.2017.06.003),and the frequency connectedness method of Barunik and Křehlik(J Financ Econom 16(2):271–296,2018.https://doi.org/10.1093/jjfin ec/nby001).The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies(US dollar,euro,Japanese yen,British pound sterling,Australian dollar,and Canadian dollar).Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange portfolios.Alternative currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading currencies.The findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.展开更多
This paper investigates the frequency connectedness among economic policy uncertainties of G20 countries using the novel frequency connectedness proposed by Barunik and Krehlik(2018)which can depict the dynamic connec...This paper investigates the frequency connectedness among economic policy uncertainties of G20 countries using the novel frequency connectedness proposed by Barunik and Krehlik(2018)which can depict the dynamic connectedness not only over time but also across different frequencies.The empirical results obtained in this paper demonstrate that,firstly,the connectedness among economic policy uncertainties is significant,and the spillover effects during the financial crisis and the postfinancial crisis period are stronger than the pre-financial crisis period.Secondly,the United States,France,and Australia are the main net-transmitters of the economic policy uncertainty spillovers while Brazil,Italy,Mexico,and Russia act as the main net-recipients of the spillovers.Thirdly,the major international events may significantly enhance the spillover transmissions of economic policy uncertainty among different countries,thus increasing the magnitude of the total connectedness.Finally,the economic policy uncertainty spillovers are mainly transmitted in the short term,i.e.,1~4 months instead of longer time horizons in terms of the magnitude of the frequency connectedness measures.The findings of this paper not only have profound theoretical and practical significance but also provide several significant implications for the policymakers,supervision agents,international traders,and various investors.展开更多
基金supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422).
文摘In the context of the rapidly growing demand for green investments and the need to combat climate change,this study contributes to the emerging literature on green investments by exploring the time-frequency connectedness between green bonds(GBs)and green equities.Specifically,we examine the degree of connection between GBs and green equities,the extent to which these markets influence each other,and which one is the primary net transmitter versus the net receiver of shocks under diverse market conditions.To accomplish these objectives,we use the wavelet-based Quantile-on-Quantile(QQ),dynamic conditional correlation(DCC),portfolio implications,and Quantile VAR approaches.The results show that GBs and green equities have a strong positive connection,depending on time and frequency domains.However,a negative association between GBs and green equities is observed during periods of crisis,highlighting GBs’ability to hedge green equity portfolios.The portfolio strategies demonstrate that investors require to invest in the Green Economy equity and S&P GB portfolio to reach the highest level of hedging effectiveness.The findings further imply that the Global Water Equity Index transmits the highest spillover to other green assets,while the Green Economy Equity Index receives the most spillover from other assets.The pairwise volatility connectivity reveals that most pairs have minimal quantile dependence,indicating the potential for diversification across the GB and green equity pairs.These findings have significant implications for investors and policymakers concerned with green investments and climate change mitigation.
文摘This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012.https://doi.org/10.1016/j.ijfor ecast.2011.02.006),the spillover asymmetry measures of Barunik et al.(J Int Money Finance 77:39–56,2017.https://doi.org/10.1016/j.jimon fin.2017.06.003),and the frequency connectedness method of Barunik and Křehlik(J Financ Econom 16(2):271–296,2018.https://doi.org/10.1093/jjfin ec/nby001).The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies(US dollar,euro,Japanese yen,British pound sterling,Australian dollar,and Canadian dollar).Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange portfolios.Alternative currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading currencies.The findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.
基金Supported by the National Natural Science Foundation of China(71573042)the Natural Science Foundation of Fujian Province(2017J01794)
文摘This paper investigates the frequency connectedness among economic policy uncertainties of G20 countries using the novel frequency connectedness proposed by Barunik and Krehlik(2018)which can depict the dynamic connectedness not only over time but also across different frequencies.The empirical results obtained in this paper demonstrate that,firstly,the connectedness among economic policy uncertainties is significant,and the spillover effects during the financial crisis and the postfinancial crisis period are stronger than the pre-financial crisis period.Secondly,the United States,France,and Australia are the main net-transmitters of the economic policy uncertainty spillovers while Brazil,Italy,Mexico,and Russia act as the main net-recipients of the spillovers.Thirdly,the major international events may significantly enhance the spillover transmissions of economic policy uncertainty among different countries,thus increasing the magnitude of the total connectedness.Finally,the economic policy uncertainty spillovers are mainly transmitted in the short term,i.e.,1~4 months instead of longer time horizons in terms of the magnitude of the frequency connectedness measures.The findings of this paper not only have profound theoretical and practical significance but also provide several significant implications for the policymakers,supervision agents,international traders,and various investors.
