TY - JOUR
T1 - Upside-Downside Multifractality and Efficiency of Green Bonds: The Roles of Global Factors and COVID-19
T2 - The Roles of Global Factors and COVID-19
AU - Xuan Vinh Vo
AU - Sang Hoon Kang
AU - Mensi, Walid
N1 - Publisher Copyright:
© 2021
PY - 2021
Y1 - 2021
N2 - This paper investigates the upward and downward multifractality and time-varying efficiency of green bonds (GBs) using the asymmetric MF-DFA method and Hurst exponents. The results reveal significant asymmetrical multifractality for all GB markets, which increased as the scale increased. Moreover, GB markets are inefficient and vary across market trends and scales. The MSCI Global, Green Building, Industrial, Utility, and Baa GB markets are more inefficient under upward trends whereas the remaining GB markets are more inefficient under downward trends. Citi Macro Risk, both US and Eurozone financial conditions, treasury bills, and COVID-19 are the drivers of GB dynamic inefficiency.
AB - This paper investigates the upward and downward multifractality and time-varying efficiency of green bonds (GBs) using the asymmetric MF-DFA method and Hurst exponents. The results reveal significant asymmetrical multifractality for all GB markets, which increased as the scale increased. Moreover, GB markets are inefficient and vary across market trends and scales. The MSCI Global, Green Building, Industrial, Utility, and Baa GB markets are more inefficient under upward trends whereas the remaining GB markets are more inefficient under downward trends. Citi Macro Risk, both US and Eurozone financial conditions, treasury bills, and COVID-19 are the drivers of GB dynamic inefficiency.
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U2 - 10.1016/j.frl.2021.101995
DO - 10.1016/j.frl.2021.101995
M3 - Article
SN - 1544-6123
VL - 43
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101995
ER -