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How integrated are regional green equity markets?: evidence from a cross-quantilogram approach
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| Veröffentlicht in: | Journal of risk and financial management 14(2021), 1/39 vom: Jan., Seite 1-58 |
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| Personen und Körperschaften: | |
| Titel: | How integrated are regional green equity markets?: evidence from a cross-quantilogram approach/ Linh Pham |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2021
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| Gesamtaufnahme: |
: Journal of risk and financial management, 14(2021), 1/39 vom: Jan., Seite 1-58
, volume:14 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | Rising concerns over climate change have increased investors’ and policymakers’ interests in environmentally friendly investments, which have led to the rapid expansion of the green equity market recently. Previous studies have focused on analyzing the green equity market at the aggregate level, thereby overlooking the heterogeneity across green equity sub-sectors. This paper contributes to the literature by investigating how interdependence between green equity markets and other financial assets varies across regions, market conditions, and investment horizons. To this end, the paper employs the recently developed cross-quantilogram framework, which measures the cross-quantile dependence across time series without any moment condition requirement. The results show that within the green equity market, movements in the U.S. market can predict movements in the Asian and European markets during all market conditions. In contrast, the Asian and European green equity markets only predict movements in the U.S. market during bearish periods. The paper also finds that regional green equity markets respond differently to movements in other financial assets, such as energy commodity and general stock returns. In addition, the interdependence among regional green equity and other assets varies across market conditions and investment horizons. These results have important implications for environmentally friendly investors and policymakers. |
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| ISSN: |
1911-8074
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| DOI: | 10.3390/jrfm14010039 |
| Zugang: | Open Access |