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Contagion between investor sentiment and green bonds in China during the global uncertainties

Ahmed Bouteska, Le Thanh Ha, Faruk Bhuiyan, Taimur Sharif, Mohammad Abedin

International Review of Economics and Finance, Volume: 93, Pages: 469 - 484

Swansea University Author: Mohammad Abedin

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DOI (Published version): 10.1016/j.iref.2024.03.045

Abstract

This study explores the connectedness between investor sentiment (IS) and Chinese green bonds using a QVAR from 30th June 2017 to 29th June 2022. Dynamic connectedness is more apparent in the short term (23%) compared to the long term (4%). Net total directional connectedness over quantiles suggests...

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Published in: International Review of Economics and Finance
ISSN: 1059-0560
Published: Elsevier BV 2024
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa65957
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Abstract: This study explores the connectedness between investor sentiment (IS) and Chinese green bonds using a QVAR from 30th June 2017 to 29th June 2022. Dynamic connectedness is more apparent in the short term (23%) compared to the long term (4%). Net total directional connectedness over quantiles suggests that IS is a main net receiver of shocks during our sample period under 20% and over 80% quantile. However, IS is also a net transmitter of shocks between 20% and 80% quantile. Green bond is a net receiver of shocks over quantiles. Uncertainties such as the recent COVID-19 pandemic are attributed to changes in investor sentiment and Chinese green bonds. The findings of this article have profound implications for investors, policymakers, and the broader financial community, in terms of gaining insights into and warnings about how uncertainty occurrences can spread, and accordingly designing appropriate investment policies for stabilizing the stock market in China, and the emerging economies at large.
Keywords: Investor sentiment; Green market; Uncertain times; QVAR; China
College: Faculty of Humanities and Social Sciences
Funders: This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors.
Start Page: 469
End Page: 484

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