Analysis of the Relationship between Green Bonds and Equity Markets by Cross-Quantilogram Method

Abstract

In our rapidly growing and developing world, various environmental and climate problems are experienced due to this development. Many countries are turning to renewable energy investments to meet their energy needs with the increasing population and industrialization. This raises the question of how to finance renewable energy investments. To overcome these problems, many environmentally friendly projects and investments have come to the fore and have been financed in recent years. Undoubtedly, one of the most important factors in providing this financing is green bonds. Green bonds have become an important financial instrument for financing environmentally and climate-beneficial projects and renewable energy investments. In the study, it is aimed to analyze the relationship among the daily data between 31.07.2012 and 29.07.2022 and the S&P 500 and S&P Green Bond Index by using the Cross-Quantilogram method. The cross-quantilogram method is an innovative method that can be easily used to determine the cross-correlation relations between different quantile and delay values and variables. According to the empirical results obtained in the study, there is a negative correlation between 2014 and 2018 according to the bidirectional cross-correlation data between the S&P 500 index and the S&P Green Bond index.

Keywords

• yeşil tahvil
• s&p 500 endeksi
• çapraz kantilogram
• green bond
• s&p index
• cross-quantilogram