经济
债券
格兰杰因果关系
波动性(金融)
社会联系
库存(枪支)
溢出效应
债券市场
货币经济学
计量经济学
金融经济学
宏观经济学
财务
工程类
机械工程
心理学
心理治疗师
作者
Linh Pham,Oğuzhan Çepni
标识
DOI:10.1016/j.iref.2022.02.069
摘要
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.
科研通智能强力驱动
Strongly Powered by AbleSci AI