TY - JOUR
T1 - Sustainable debt and gas markets
T2 - A new look using the time-varying wavelet-windowed cross-correlation approach
AU - Tiwari, Aviral Kumar
AU - Abakah, Emmanuel Joel Aikins
AU - Doğan, Buhari
AU - Ghosh, Sudeshna
N1 - Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/4
Y1 - 2023/4
N2 - This paper examines the time-varying interactive linkages between the sustainable debt market and gas markets, applying unique estimation techniques, specifically the empirical mode decomposition (EMD)-windowed-cross-correlation (EMD-WCC) and wavelet-windowed-cross-correlations. To this end, we use the S&P Green Bond Index as a representative of a sustainable debt market while for the gas market, we use natural gas price indices of UK NBP (National Balancing Point), NYMEX HH (Henry Hub) and US shale gas prices. The lead/lag behavior amid green-bonds along with shale gas, also with natural gas markets has equal forces across all time scales. There exists weak cross-correlation across green bonds and shale gas markets and additionally, green bonds and natural gas markets in the short-run. Such findings imply that, from the perspective of the investors, in the short-run, green bonds have ample diversification benefits. The highest intensity of cross-correlations is observed in the longer time horizons. This evidence suggests that in the long-run the behavior of the markets is driven by its own peculiarities. Overall, our findings support the argument that green bonds with their climate-friendly properties add to the diversification benefits for investors, as a newer class of asset for portfolio investments.
AB - This paper examines the time-varying interactive linkages between the sustainable debt market and gas markets, applying unique estimation techniques, specifically the empirical mode decomposition (EMD)-windowed-cross-correlation (EMD-WCC) and wavelet-windowed-cross-correlations. To this end, we use the S&P Green Bond Index as a representative of a sustainable debt market while for the gas market, we use natural gas price indices of UK NBP (National Balancing Point), NYMEX HH (Henry Hub) and US shale gas prices. The lead/lag behavior amid green-bonds along with shale gas, also with natural gas markets has equal forces across all time scales. There exists weak cross-correlation across green bonds and shale gas markets and additionally, green bonds and natural gas markets in the short-run. Such findings imply that, from the perspective of the investors, in the short-run, green bonds have ample diversification benefits. The highest intensity of cross-correlations is observed in the longer time horizons. This evidence suggests that in the long-run the behavior of the markets is driven by its own peculiarities. Overall, our findings support the argument that green bonds with their climate-friendly properties add to the diversification benefits for investors, as a newer class of asset for portfolio investments.
KW - Green bond
KW - Natural gas
KW - Shale gas
KW - Wavelet windowed cross-correlation
UR - http://www.scopus.com/inward/record.url?scp=85149737270&partnerID=8YFLogxK
U2 - 10.1016/j.eneco.2023.106606
DO - 10.1016/j.eneco.2023.106606
M3 - Article
AN - SCOPUS:85149737270
SN - 0140-9883
VL - 120
JO - Energy Economics
JF - Energy Economics
M1 - 106606
ER -