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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/65222
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dc.contributor.authorOlaOluwa S. Yaya-
dc.contributor.otherAhamuefula E. Ogbonna-
dc.contributor.otherVo Xuan Vinh-
dc.date.accessioned2022-10-27T02:33:48Z-
dc.date.available2022-10-27T02:33:48Z-
dc.date.issued2022-
dc.identifier.issn0301-4207-
dc.identifier.urihttps://digital.lib.ueh.edu.vn/handle/UEH/65222-
dc.description.abstractThis study examines how market volatility of five green investments (Standard & Poor's - S&P [Green bond select index and Green bond index] and Morgan Stanley Capital International - MSCI [Global alternative energy index, Global pollution prevention index, and Global green building index]) respond to oil shocks; using the Generalized Autoregressive Conditional Heteroscedasticity with Mixed Data Sampling (GARCH-MIDAS) modelling framework. We employ Baumeister and Hamilton's decomposed oil shocks: economic activity shocks, oil consumption demand shocks, oil inventory demand shocks, and oil supply shocks; each in their original levels, as well as their negatively and positively disaggregated levels. Our findings show homogeneous and heterogeneous responses of green investments volatility to variants of oil shocks. Asymmetry effect is also evidenced, given the differences between the estimated effect of positive and negative oil shocks on the volatility of green investments.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier B.V.-
dc.relation.ispartofResources Policy-
dc.relation.ispartofseriesVol. 78-
dc.rightsElsevier B.V.-
dc.subjectGARCH-MIDASen
dc.subjectGreen bonden
dc.subjectOil shocksen
dc.subjectsymmetryen
dc.titleOil shocks and volatility of green investments: GARCH-MIDAS analysesen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.resourpol.2022.102789-
ueh.JournalRankingScopus-
item.grantfulltextnone-
item.openairetypeJournal Article-
item.cerifentitytypePublications-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextOnly abstracts-
item.languageiso639-1en-
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