首页|Oil shocks and volatility of green investments: GARCH-MIDAS analyses
Oil shocks and volatility of green investments: GARCH-MIDAS analyses
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NSTL
Elsevier
? 2022 Elsevier LtdThis 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.
AsymmetryGARCH-MIDASGreen bondOil shocks
Yaya O.S.、Ogbonna A.E.、Vo X.V.
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Economic and Financial Statistics Unit Department of Statistics University of Ibadan
Institute of Business Research University of Economics Ho Chi Minh City
NSTL
Elsevier
