GREEN BOND VOLATILITY AND SPILLOVER TO THE EQUITY MARKET OF SOUTH ASIA
Abstract
This study aims at finding out the volatility and spillover of green bonds over equity markets of South Asia including three counties; China, India and Pakistan. For this purpose, sample dataset of daily closing price of stock returns of equity markets was collected from the stock exchange institutes of these three countries from time period of 2011 to 2019. Dataset of green bond market was obtained from official site of S&P global green bond index. Unit root test, LM test, Durbin Watson test, ARCH test and GJR-GARCH test was used as techniques for proving the hypothesis of this study. Findings show that green bond market is positively linked with the equity markets of these three countries. Moreover, no volatility exists in the green bond returns but there is an existence of volatility in green bond markets. ARCH effect exists in green bond market return series so spillover does not exist. As conclusion, both green bond market and equity market are not completely independent and there is an existence of informational spillover between these markets which can be helpful for investors against risk diversification. This study is also fruitful for policy makers, researchers and portfolio managers.
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Copyright (c) 2023 Anum Shafique, Akmal Shehzad, Mehmood Hassan, Chaman Zahra
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