Baltas, Konstantinos and Mann, Robert (2023) What drives the performance and causality of Green Bond Indexes? The European Journal of Finance, 30 (3). pp. 269-287. DOI https://doi.org/10.1080/1351847X.2023.2208168
Baltas, Konstantinos and Mann, Robert (2023) What drives the performance and causality of Green Bond Indexes? The European Journal of Finance, 30 (3). pp. 269-287. DOI https://doi.org/10.1080/1351847X.2023.2208168
Baltas, Konstantinos and Mann, Robert (2023) What drives the performance and causality of Green Bond Indexes? The European Journal of Finance, 30 (3). pp. 269-287. DOI https://doi.org/10.1080/1351847X.2023.2208168
Abstract
This paper empirically assesses the performance of green bond indices and the causality of that performance using a range of financial and commodity data. We present new insights from the novel application of datasets, neural networks and performance measurements. We find that green bond indices do not outperform the market when factors beyond market return are considered. We find that Brent crude oil has the most significant effect on certain indices, a finding that contrasts with other studies on green bonds. A greater sensitivity to oil prices and global green equities also evinces a negative impact on a green bond index’s ability to outperform the market. For the first time, a linear causal relationship is established between Title Transfer Facility (TTF) returns and green bond index returns. Additionally, a fundamental shift in causal relationships is observed over the COVID-19 period. In this way, we contribute to the literature on sustainable green bonds and the impact of COVID-19. These insights provide more clarity to market participants for navigating the uncertainties of both the global energy transition and the postpandemic period.
Item Type: | Article |
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Uncontrolled Keywords: | Green energy; Green bond indices; Sustainability; performance analysis; causal inference; neural networks |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 18 Jul 2023 19:07 |
Last Modified: | 16 May 2024 21:43 |
URI: | http://repository.essex.ac.uk/id/eprint/35825 |
Available files
Filename: Manuscript Accepted_(With Author Details).pdf
Licence: Creative Commons: Attribution-Noncommercial 4.0
Embargo Date: 17 November 2024