Connectivity between the volatility of green and non-green bond markets with international markets

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This research paper analyzes the spillover effects of volatility between the U. S. green and non-green bond markets with international market volatility between 2018 and 2023. The empirical work used time and frequency domain methodology to analyze the connectivity in the short, medium, and long ter...

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Detalles Bibliográficos
Autores: Gálvez-Gamboa, Francisco, Muñoz-Henríquez, Erik, Sánchez-Dávila, Elmer
Formato: artículo
Fecha de Publicación:2024
Institución:Universidad Peruana de Ciencias Aplicadas
Repositorio:UPC-Institucional
Lenguaje:español
OAI Identifier:oai:repositorioacademico.upc.edu.pe:10757/676091
Enlace del recurso:http://hdl.handle.net/10757/676091
Nivel de acceso:acceso abierto
Materia:bonds
financial markets
green bonds
indirect volatility effects
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dc.title.es_PE.fl_str_mv Connectivity between the volatility of green and non-green bond markets with international markets
title Connectivity between the volatility of green and non-green bond markets with international markets
spellingShingle Connectivity between the volatility of green and non-green bond markets with international markets
Gálvez-Gamboa, Francisco
bonds
financial markets
green bonds
indirect volatility effects
title_short Connectivity between the volatility of green and non-green bond markets with international markets
title_full Connectivity between the volatility of green and non-green bond markets with international markets
title_fullStr Connectivity between the volatility of green and non-green bond markets with international markets
title_full_unstemmed Connectivity between the volatility of green and non-green bond markets with international markets
title_sort Connectivity between the volatility of green and non-green bond markets with international markets
author Gálvez-Gamboa, Francisco
author_facet Gálvez-Gamboa, Francisco
Muñoz-Henríquez, Erik
Sánchez-Dávila, Elmer
author_role author
author2 Muñoz-Henríquez, Erik
Sánchez-Dávila, Elmer
author2_role author
author
dc.contributor.author.fl_str_mv Gálvez-Gamboa, Francisco
Muñoz-Henríquez, Erik
Sánchez-Dávila, Elmer
dc.subject.es_PE.fl_str_mv bonds
financial markets
green bonds
indirect volatility effects
topic bonds
financial markets
green bonds
indirect volatility effects
description This research paper analyzes the spillover effects of volatility between the U. S. green and non-green bond markets with international market volatility between 2018 and 2023. The empirical work used time and frequency domain methodology to analyze the connectivity in the short, medium, and long term. The results demonstrate that both green and non-green bond markets are recipients of volatility, although green bonds receive volatility to a lesser extent than traditional bonds. Despite this, traditional bonds become recipients of volatility during periods such as the COVID-19 pandemic, while green bonds experience volatility reception during the Russia-Ukraine conflict period.
publishDate 2024
dc.date.accessioned.none.fl_str_mv 2024-10-11T12:25:02Z
dc.date.available.none.fl_str_mv 2024-10-11T12:25:02Z
dc.date.issued.fl_str_mv 2024-01-01
dc.type.es_PE.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.issn.none.fl_str_mv 01235923
dc.identifier.doi.none.fl_str_mv 10.18046/j.estger.2024.170.6228
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10757/676091
dc.identifier.eissn.none.fl_str_mv 26656744
dc.identifier.journal.es_PE.fl_str_mv Estudios Gerenciales
dc.identifier.eid.none.fl_str_mv 2-s2.0-85196046065
dc.identifier.scopusid.none.fl_str_mv SCOPUS_ID:85196046065
identifier_str_mv 01235923
10.18046/j.estger.2024.170.6228
26656744
Estudios Gerenciales
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SCOPUS_ID:85196046065
url http://hdl.handle.net/10757/676091
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dc.source.journaltitle.none.fl_str_mv Estudios Gerenciales
dc.source.volume.none.fl_str_mv 40
dc.source.issue.none.fl_str_mv 170
dc.source.beginpage.none.fl_str_mv 2
dc.source.endpage.none.fl_str_mv 12
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Connectivity between the volatility of green and non-green bond markets with international markets
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