Analyze different impacts of COVID-19 pandemic to green bond and conventional financial markets.
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Study dynamic spillovers via time-frequency methods and work out portfolio pairs via portfolio analysis.
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Spillovers transmitted from ID-EMV index are higher at medium and high frequency, and increase sharply when the pandemic gets severe.
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Green bond is the highest net spillover receiver during the pandemic.
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Treasury has a co-movement with green bond during the pandemic time.
Abstract
This paper explores the impacts of the COVID-19 pandemic on the global green bond and conventional assets, including commodity, treasury, stock and clean energy markets, using Diebold and Yilmaz (2012) and Baruník and Křehlík, 2018b spillover framework. The results show that spillover transmitted from COVID-19 is relatively strong over a medium- and long-term horizon, and the spillover effects sharply increased when the pandemic became severe. Furthermore, green bonds are most affected by the COVID-19 pandemic, followed by the treasury, while the other conventional assets are only slightly affected. Additionally, our findings also contain a low-risk portfolio during COVID-19 pandemic.