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Yeşil Tahvil ile Pay Piyasaları Arasındaki İlişkinin Çapraz Kantilogram Yöntemi ile Analizi

Year 2022, Volume: 7 Issue: 4, 855 - 868, 31.12.2022

Burak Büyükoğlu

https://doi.org/10.30784/epfad.1203044

Abstract

Hızla büyüyen ve gelişen dünyamızda bu gelişmeye bağlı olarak çeşitli çevre ve iklim sorunları yaşanmaktadır. Artan nüfus ve sanayileşme ile birlikte birçok ülke enerji ihtiyacını karşılamak için yenilenebilir enerji yatırımlarına yönelmektedir. Bu da yenilenebilir enerji yatırımlarının nasıl finanse edileceği sorusunu gündeme getiriyor. Bu sorunları aşmak için son yıllarda birçok çevre dostu proje ve yatırım gündeme gelmekte ve finanse edilmektedir. Bu finansmanın sağlanmasındaki en önemli etkenlerden biri de hiç kuşkusuz yeşil tahvillerdir. Yeşil tahviller, çevreye ve iklime faydalı projelerin ve yenilenebilir enerji yatırımlarının finansmanı için önemli bir finansal araç haline geldi. Çalışmada, 31.07.2012-29.07.2022 tarihleri arasındaki günlük veriler ile S&P 500 ve S&P Yeşil Tahvil Endeksi arasındaki ilişkinin Çapraz Kantilogram yöntemi kullanılarak analiz edilmesi amaçlanmaktadır. Çapraz kantilogram yöntemi, farklı kantil ve gecikme değerleri ve değişkenleri arasındaki çapraz korelasyon ilişkilerini belirlemek için kolaylıkla kullanılabilen yenilikçi bir yöntemdir. Çalışmada elde edilen ampirik sonuçlara göre S&P 500 endeksi ile S&P Yeşil Tahvil endeksi arasında çift yönlü çapraz korelasyon verilerine göre 2014 ve 2018 yılları arasında negatif bir korelasyon bulunmaktadır.

Keywords

Yeşil Tahvil S&P 500 Endeksi Çapraz Kantilogram

References

  • Arif, M., Naeem, M.A., Farid, S., Nepal, R. and Jamasb, T. (2022). Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. Energy Policy, 168, 113102. https://doi.org/10.1016/j.enpol.2022.113102
  • Banga, J. (2019). The green bond market: A potential source of climate finance for developing countries. Journal of Sustainable Finance & Investment, 9(1), 17-32. https://doi.org/10.1080/20430795.2018.1498617
  • Barclays. (2015). The cost of being green (Credit Research). Retrieved from https://www.environmental-finance.com/assets/files/US_Credit_Focus_The_Cost_of_Being_Green.pdf
  • Baulkaran, V. (2019). Stock market reaction to green bond issuance. Journal of Asset Management, 20(5), 331-340. https://doi.org/10.1057/s41260-018-00105-1
  • Bloomberg. (2017). Green bonds: 2016 in review (Bloomberg New Energy Finance). Retrieved from https://data.bloomberglp.com/bnef/sites/14/2017/08/BNEF_RN_Green-Bonds-2016.pdf
  • Broadstock, D.C. and Cheng, L.T. (2019). Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade. Finance Research Letters, 29, 17-22. https://doi.org/10.1016/j.frl.2019.02.006
  • CAIA. (2016). An introduction to green bonds. Retrieved from https://www.caia.org/sites/default/files/AIAR_Q2_2016_02_GreenBonds.pdf
  • Cortellini, G. and Panetta, I.C. (2021). Green bond: A systematic literature review for future research agendas. Journal of Risk and Financial Management, 14, 589. http://doi.org/10.3390/jrfm14120589
  • Ehlers, T. and Packer, F. (2017). Green bond finance and certification. BIS Quarterly Review, 3, 89-104. Retrieved from https://www.bis.org/
  • Fernandes, L.S., Silva, J.W., Antunes de Araujo, F.H. and Tabak, B.M. (2022). Multifractal cross-correlations between green bonds and financial assets (SSRN Working Paper No. 4227059). Retrieved from https://ssrn.com/abstract=4227059
  • Han, H., Linton, O., Oka, T. and Whang, Y.J. (2016). The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251-270. https://doi.org/10.1016/j.jeconom.2016.03.001
  • Kandir, S.Y. and Yakar, S. (2017). Green bond markets: Suggestions for the development of the green bond market in Turkey. Çukurova University Journal of Social Sciences Institute, 26(2), 159-175. Retrieved from https://dergipark.org.tr/en/pub/cusosbil/
  • Lebelle, M., Lajili Jarjir, S. and Sassi, S. (2020). Corporate green bond issuances: An international evidence. Journal of Risk and Financial Management, 13(2), 25. https://doi.org/10.3390/jrfm13020025
  • Nguyen, T.T.H., Naeem, M.A., Balli, F., Balli, H.O. and Vo, X.V. (2021). Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. Finance Research Letters, 40, 101739. https://doi.org/10.1016/j.frl.2020.101739
  • Nur, T. and Ege, I. (2022). Investigation of the relationship between green bond and stock market with time series analysis. Journal of Accounting and Finance, (94), 185-206. https://doi.org/10.25095/mufad.1049956
  • Park, D., Park, J. and Ryu, D. (2020). Volatility spillovers between equity and green bond markets. Sustainability, 22(1), 1-12. https://doi.org/10.3390/su12093722
  • Pham, L. (2016). Is it risky to go green? A volatility analysis of the green bond market. Journal of Sustainable Finance & Investment, 6(4), 263-291. https://doi.org/10.1080/20430795.2016.1237244
  • Pham, L. (2021a). How integrated are regional green equity markets? Evidence from a cross-quantilogram approach. Journal of Risk and Financial Management, 14(1), 39. https://doi.org/10.3390/jrfm14010039
  • Pham, L. (2021b). Frequency connectedness and cross-quantile dependence between green bond and green equity markets. Energy Economics, 98, 105257. https://doi.org/10.1016/j.eneco.2021.105257
  • Reboredo, J.C. (2018). Green bond and financial markets: Co-movement, diversification and price spillover effects. Energy Economics, 74, 38-50. https://doi.org/10.1016/j.eneco.2018.05.030
  • Roslen, S., Ibrahim, S.A. and Yee, L. (2017). Green bond and shareholders’ wealth: A multi-country event study. International Journal of Globalisation and Small Business, 9, 61-69. http://doi.org/10.1504/IJGSB.2017.10005758
  • Tang, D.Y. and Zhang, Y. (2020). Do shareholders benefit from green bonds? Journal of Corporate Finance, 61, 101427. http://doi.org/10.1016/j.jcorpfin.2018.12.001
  • Wang, J., Chen, X., Li, X., Yu, J. and Zhong, R. (2020). The market reaction to green bond issuance: Evidence from China. Pacific-Basin Finance Journal, 60, 101294. https://doi.org/10.1016/j.pacfin.2020.101294
  • Yahoo. (2022). Yahoo Finance [Dataset]. Retrieved from https://finance.yahoo.com/quote/%5EGSPC/history?p=%5EGSPC
  • Zerbib, O.D. (2017). The green bond premium (SSRN Working Paper No. 2890316). Retrieved from http://dx.doi.org/10.2139/ssrn.2890316
  • Zhou, X. and Cui, Y. (2019). Green bonds, corporate performance, and corporate social responsibility. Sustainability, 11, 6881. http://doi.org/10.3390/su11236881

Analysis of the Relationship between Green Bonds and Equity Markets by Cross-Quantilogram Method

Year 2022, Volume: 7 Issue: 4, 855 - 868, 31.12.2022

Burak Büyükoğlu

https://doi.org/10.30784/epfad.1203044

Abstract

In our rapidly growing and developing world, various environmental and climate problems are experienced due to this development. Many countries are turning to renewable energy investments to meet their energy needs with the increasing population and industrialization. This raises the question of how to finance renewable energy investments. To overcome these problems, many environmentally friendly projects and investments have come to the fore and have been financed in recent years. Undoubtedly, one of the most important factors in providing this financing is green bonds. Green bonds have become an important financial instrument for financing environmentally and climate-beneficial projects and renewable energy investments. In the study, it is aimed to analyze the relationship among the daily data between 31.07.2012 and 29.07.2022 and the S&P 500 and S&P Green Bond Index by using the Cross-Quantilogram method. The cross-quantilogram method is an innovative method that can be easily used to determine the cross-correlation relations between different quantile and delay values and variables. According to the empirical results obtained in the study, there is a negative correlation between 2014 and 2018 according to the bidirectional cross-correlation data between the S&P 500 index and the S&P Green Bond index.

Keywords

Green Bond S&P Index Cross-Quantilogram

References

  • Arif, M., Naeem, M.A., Farid, S., Nepal, R. and Jamasb, T. (2022). Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. Energy Policy, 168, 113102. https://doi.org/10.1016/j.enpol.2022.113102
  • Banga, J. (2019). The green bond market: A potential source of climate finance for developing countries. Journal of Sustainable Finance & Investment, 9(1), 17-32. https://doi.org/10.1080/20430795.2018.1498617
  • Barclays. (2015). The cost of being green (Credit Research). Retrieved from https://www.environmental-finance.com/assets/files/US_Credit_Focus_The_Cost_of_Being_Green.pdf
  • Baulkaran, V. (2019). Stock market reaction to green bond issuance. Journal of Asset Management, 20(5), 331-340. https://doi.org/10.1057/s41260-018-00105-1
  • Bloomberg. (2017). Green bonds: 2016 in review (Bloomberg New Energy Finance). Retrieved from https://data.bloomberglp.com/bnef/sites/14/2017/08/BNEF_RN_Green-Bonds-2016.pdf
  • Broadstock, D.C. and Cheng, L.T. (2019). Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade. Finance Research Letters, 29, 17-22. https://doi.org/10.1016/j.frl.2019.02.006
  • CAIA. (2016). An introduction to green bonds. Retrieved from https://www.caia.org/sites/default/files/AIAR_Q2_2016_02_GreenBonds.pdf
  • Cortellini, G. and Panetta, I.C. (2021). Green bond: A systematic literature review for future research agendas. Journal of Risk and Financial Management, 14, 589. http://doi.org/10.3390/jrfm14120589
  • Ehlers, T. and Packer, F. (2017). Green bond finance and certification. BIS Quarterly Review, 3, 89-104. Retrieved from https://www.bis.org/
  • Fernandes, L.S., Silva, J.W., Antunes de Araujo, F.H. and Tabak, B.M. (2022). Multifractal cross-correlations between green bonds and financial assets (SSRN Working Paper No. 4227059). Retrieved from https://ssrn.com/abstract=4227059
  • Han, H., Linton, O., Oka, T. and Whang, Y.J. (2016). The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251-270. https://doi.org/10.1016/j.jeconom.2016.03.001
  • Kandir, S.Y. and Yakar, S. (2017). Green bond markets: Suggestions for the development of the green bond market in Turkey. Çukurova University Journal of Social Sciences Institute, 26(2), 159-175. Retrieved from https://dergipark.org.tr/en/pub/cusosbil/
  • Lebelle, M., Lajili Jarjir, S. and Sassi, S. (2020). Corporate green bond issuances: An international evidence. Journal of Risk and Financial Management, 13(2), 25. https://doi.org/10.3390/jrfm13020025
  • Nguyen, T.T.H., Naeem, M.A., Balli, F., Balli, H.O. and Vo, X.V. (2021). Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. Finance Research Letters, 40, 101739. https://doi.org/10.1016/j.frl.2020.101739
  • Nur, T. and Ege, I. (2022). Investigation of the relationship between green bond and stock market with time series analysis. Journal of Accounting and Finance, (94), 185-206. https://doi.org/10.25095/mufad.1049956
  • Park, D., Park, J. and Ryu, D. (2020). Volatility spillovers between equity and green bond markets. Sustainability, 22(1), 1-12. https://doi.org/10.3390/su12093722
  • Pham, L. (2016). Is it risky to go green? A volatility analysis of the green bond market. Journal of Sustainable Finance & Investment, 6(4), 263-291. https://doi.org/10.1080/20430795.2016.1237244
  • Pham, L. (2021a). How integrated are regional green equity markets? Evidence from a cross-quantilogram approach. Journal of Risk and Financial Management, 14(1), 39. https://doi.org/10.3390/jrfm14010039
  • Pham, L. (2021b). Frequency connectedness and cross-quantile dependence between green bond and green equity markets. Energy Economics, 98, 105257. https://doi.org/10.1016/j.eneco.2021.105257
  • Reboredo, J.C. (2018). Green bond and financial markets: Co-movement, diversification and price spillover effects. Energy Economics, 74, 38-50. https://doi.org/10.1016/j.eneco.2018.05.030
  • Roslen, S., Ibrahim, S.A. and Yee, L. (2017). Green bond and shareholders’ wealth: A multi-country event study. International Journal of Globalisation and Small Business, 9, 61-69. http://doi.org/10.1504/IJGSB.2017.10005758
  • Tang, D.Y. and Zhang, Y. (2020). Do shareholders benefit from green bonds? Journal of Corporate Finance, 61, 101427. http://doi.org/10.1016/j.jcorpfin.2018.12.001
  • Wang, J., Chen, X., Li, X., Yu, J. and Zhong, R. (2020). The market reaction to green bond issuance: Evidence from China. Pacific-Basin Finance Journal, 60, 101294. https://doi.org/10.1016/j.pacfin.2020.101294
  • Yahoo. (2022). Yahoo Finance [Dataset]. Retrieved from https://finance.yahoo.com/quote/%5EGSPC/history?p=%5EGSPC
  • Zerbib, O.D. (2017). The green bond premium (SSRN Working Paper No. 2890316). Retrieved from http://dx.doi.org/10.2139/ssrn.2890316
  • Zhou, X. and Cui, Y. (2019). Green bonds, corporate performance, and corporate social responsibility. Sustainability, 11, 6881. http://doi.org/10.3390/su11236881
There are 26 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Makaleler
Authors

Burak Büyükoğlu 0000-0002-1174-3112

Publication Date December 31, 2022
Acceptance Date December 23, 2022
Published in Issue Year 2022 Volume: 7 Issue: 4

Cite

APA Büyükoğlu, B. (2022). Analysis of the Relationship between Green Bonds and Equity Markets by Cross-Quantilogram Method. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 7(4), 855-868. https://doi.org/10.30784/epfad.1203044
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