Extreme Directional Spillovers between Investor Attention and Green Bond Markets

Linh Pham*, Oguzhan Cepni

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

This paper studies how the spillovers between investor attention and green bond performance vary across normal and extreme market conditions. Using the quantile connectedness model, we document a substantial increase in the spillovers between green bond returns and investor attention at the lower and upper tail of the distributions. These spillovers are time-varying, asymmetric, and significantly influenced by stock, oil, bond market volatility, and economic policy uncertainty. Moreover, using the time-varying robust Granger causality test, we find that the Granger-causality relationship between the attention indices and the green bond returns seems to be more pronounced after the onset of the COVID-19 pandemic.
Original languageEnglish
JournalInternational Review of Economics & Finance
Volume80
Pages (from-to)186-210
Number of pages25
ISSN1059-0560
DOIs
Publication statusPublished - Jul 2022

Keywords

  • Causality
  • Green bond
  • Investor attention
  • Quantile connectedness

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