Advanced
Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/62072
Full metadata record
DC FieldValueLanguage
dc.contributor.authorNaeem M.A.-
dc.contributor.otherNguyen T.T.H.-
dc.contributor.otherNepal R.-
dc.contributor.otherNgo Q.T.-
dc.contributor.otherTaghizadeh Hesary F.-
dc.date.accessioned2021-08-20T14:49:47Z-
dc.date.available2021-08-20T14:49:47Z-
dc.date.issued2021-
dc.identifier.issn1544-6123-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/62072-
dc.description.abstractThe paper documents the asymmetric relationship between green bonds and commodities via the cross-quantilogram approach. Given the heterogeneity nature of individual commodities, we employ three commodity key groups, including energy, metals, and agriculture. As expected, the empirical evidence highlights the asymmetric behaviors of green bonds in response to diverse groups of commodities. Further, the hedging and diversification benefit of including green bonds to commodity portfolio is revealed. Defined by the uncorrelation or negative correlation with commodities in the periods of high volatility, we found the strongest hedging benefit of green bonds against the fluctuation of natural gas, some industrial metals, and agricultural commodities. While these underlying features are persistent in the long run, it is recommended to utilize the use of green bonds in the longer term (22 days) for higher portfolio performance rather than the short term (1 to 5 days).en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Ltd-
dc.relation.ispartofFinance Research Letters-
dc.rightsElsevier Inc.-
dc.subjectCommoditiesen
dc.subjectCross-quantilogramen
dc.subjectDiversificationen
dc.subjectGreen bondsen
dc.titleAsymmetric relationship between green bonds and commodities: Evidence from extreme quantile approachen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.frl.2021.101983-
ueh.JournalRankingScopus-
item.fulltextOnly abstracts-
item.openairetypeJournal Article-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
Appears in Collections:INTERNATIONAL PUBLICATIONS
Show simple item record

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.