Can Green Bonds be a Safe Haven for Equity Investors?

Arbeitspapier

We investigate if green bonds can act as a safe-haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (2017) and by comparing the regime-dependent GIRFs from a Markovswitching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe-haven asset during all regimes except during rare periods of extreme turbulence.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: QBS Research Paper ; No. 2023/06

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models ; Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
• Subject: Green bonds ; Contagion ; Financial crisis ; Markov-switching VAR

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Flavin, Thomas ; Sheenan, Lisa
• Event: Veröffentlichung
• (who): Queen's University Belfast, Queen's Business School
• (where): Belfast
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/278068
• Last update: 10.03.2025, 11:42 AM CET