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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/65296
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dc.contributor.authorWalid Mensi-
dc.contributor.otherMobeen Ur Rehman-
dc.contributor.otherVo Xuan Vinh-
dc.date.accessioned2022-10-27T02:34:05Z-
dc.date.available2022-10-27T02:34:05Z-
dc.date.issued2022-
dc.identifier.issn1057-5219-
dc.identifier.urihttps://digital.lib.ueh.edu.vn/handle/UEH/65296-
dc.description.abstractWe examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. Moreover, the upper tail dependence between MSCI global GB and financial GB intensified during COVID-19. We find asymmetric risk spillovers from MSCI global GB to the remaining GBs. Finally, the COVID-19 spread, the Citi macro risk index, and the financial condition index contribute positively to the quantiles' risk spillovers. The spillover index method shows significant dynamic volatility spillovers from global GB to GB sectors that intensify during the pandemic outbreak, except for financial GB. The causality-in-mean and in-variance from COVID-19, Citi macro risk index, and US financial condition index to the downside and upside spillover effects are sensitive to quantilesen
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Inc.-
dc.relation.ispartofInternational Review of Financial Analysis-
dc.relation.ispartofseriesVol. 81-
dc.rightsElsevier Inc.-
dc.subjectGreen bondsen
dc.subjectGlobal factorsen
dc.subjectRisk spilloversen
dc.subjectCOVID-19en
dc.subjectCoVaRen
dc.titleImpacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bonden
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2022.102125-
ueh.JournalRankingScopus, ISI-
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
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