The heterogeneous role of economic and financial uncertainty in green bond market efficiency
Review of Accounting and Finance
ISSN: 1475-7702
Article publication date: 20 November 2023
Issue publication date: 10 January 2024
Abstract
Purpose
This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market.
Design/methodology/approach
This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic.
Findings
EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened.
Practical implications
This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market.
Originality/value
This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.
Keywords
Acknowledgements
This research was supported by the Natural Science Fund of Hunan Province (2022JJ40647).
Citation
Wei, P., Zhou, J., Ren, X. and Taghizadeh-Hesary, F. (2024), "The heterogeneous role of economic and financial uncertainty in green bond market efficiency", Review of Accounting and Finance, Vol. 23 No. 1, pp. 130-155. https://doi.org/10.1108/RAF-07-2023-0202
Publisher
:Emerald Publishing Limited
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