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• W4309484423 endingPage "100794" @default.
• W4309484423 startingPage "100794" @default.
• W4309484423 abstract "This paper investigates the risk transmission, linkages, and directional predictability between green bonds, Islamic stocks, and other asset classes. Using daily data from November 2008 to August 2020, we use the Standard & Poor's (S&P) Green Bond Index to represent the green bond market and the Dow Jones Islamic World Index and the S&P Global Shariah Indices to represent Islamic stocks. The other asset classes considered include the S&P 500 Stock Composite, S&P 500 Bond, and S&P 500 Energy indices. This paper uses the novel quantile cross-spectral (coherency), the windowed scalogram difference (WSD), and the cross-quantilogram (CQ) correlation approaches. The results from the quantile coherency analysis reveal a negative spillover effect from green bond price returns to Islamic stocks in the long run, which indicates that the green bond market poses a long-run systemic risk to Islamic stocks. From the WSD analysis, the results show that the integration between green bonds and Islamic stocks, the S&P 500 Stock Composite, and the S&P 500 Bond index is weaker during volatile market conditions. The CQ correlation suggests that the dependency between green bonds and other asset returns is concentrated in the lower quantiles and that this dependency is weaker at longer lags. Our results underscore the significance of green bonds in investor portfolios as a new investment asset class." @default.
• W4309484423 created "2022-11-28" @default.
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• W4309484423 date "2023-02-01" @default.
• W4309484423 modified "2023-09-30" @default.
• W4309484423 title "What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?" @default.
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• W4309484423 doi "https://doi.org/10.1016/j.gfj.2022.100794" @default.
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