Öz
Kaynakça
- Banga, Josue (2019), “The Green Bond Market: A Potential Source of Climate Finance for Developing Countries”, Journal of Sustainable Finance & Investment, 9(1), pp. 17-32.
- Baulkaran, Vishaal (2019), “Stock Market Reaction to Green Bond Issuance”, Journal of Asset Management, 20, pp. 331-340.
- Broadstock, David C. - Cheng, Louis T.W. (2019), “Time-Varying Relation Between Black and Green Bond Price Benchmarks: Macroeconomic Determinants for The First Decade”, Finance Research Letters, 29, pp. 17-22.
- Ehlers, Torsten - Packer, Frank (2017), “Green Bond Finance and Certification”, BIS Quarterly Review.
- Engle, Robert F. - Granger, Clive W.J. (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), pp. 251-276.
- Gao, Yang - Li, Yangyang. - Wang, Yaojun (2021), “Risk Spillover and Network Connectedness Analysis of China’s Green Bond and Financial Markets: Evidence from Financial Events of 2015–2020”, The North American Journal of Economics and Finance, 57, pp.1-25.
- Lee, Chi C. - Lee, Chien C. - Li, Yong Y. (2021), “Oil Price Shocks, Geopolitical Risks, and Green Bond Market Dynamics”, The North American Journal of Economics and Finance, 55, pp.1-15.
- Nazlıoğlu, Şaban - Görmüş, N. Alper - Soytaş, Uğur (2016), “Oil Prices and Real Estate Investment Trusts (Reits): Gradual- Shift Causality and Volatility Transmission Analysis”, Energy Economics, 60, pp.168-175.
- Nazlıoğlu, Şaban - Gupta, Rangan - Görmüş, N. Alper - Soytaş, Uğur (2019), “Price and Volatility Linkages Between International Reits and Oil Markets”, University of Pretoria Department of Economics Working Paper Series, 54.
- Park, Daehyeon - Park, Jiyeon - Ryu, Doojin (2020), “Volatility Spillovers Between Equity and Green Bond Markets”, Sustainability, 22, pp. 1-12.
- Pham, Linh (2016), “Is It Risky to Go Green? A Volatility Analysis of The Green Bond Market”, Journal of Sustainable Finance & Investment, 6(4), pp. 263-291.
- Pham, Linh - Nguyen, C. Phuch (2021), “How Do Stock, Oil, And Economic Policy Uncertainty Influence the Green Bond Market?”, Finance Research Letters. https://doi.org/10.1016/j.frl.2021.102128
- Phillips, Peter C.B. - Ouliaris, Sam (1990), “Asymptotic Properties of Residual Based Tests for Cointegration”, Econometrica, 58(1), pp. 165-193.
- Roboredo, Juan C. (2018), “Green Bond and Financial Markets: Co-Movement, Diversification and Price Spillover Effects”, Energy Economics, 74, pp. 38-50.
- Roboredo, Juan C. - Ugolini, Andrea (2020), “Price Connectedness Between Green Bond and Financial Markets”, Economic Modelling, 88, pp.25-38.
- Shin, Yongcheol (1994), “A Residual-Based Test of The Null of Cointegration Against the Alternative of No Cointegration”, Econometric Theory. 10, pp. 91–115.
Öz
Çalışmada 2010-2020 döneminde S&P500 ve S&P Yeşil Tahvil Endeksleri arasındaki kısa ve uzun
dönemli ilişkinin araştırılması amaçlanmıştır. Bu kapsamda ilk olarak endekslere ilişkin volatilite tahminlemesi
gerçekleştirilmiş olup, endekslerde farklı tarihlerde volatilite kümelenmesi olduğu gözlemlenmiş ve endeksler
arasında volatilite yayılımının olmadığı tespit edilmiştir. Ardından endeksler arasındaki eşbütünleşme ve
nedensellik ilişkisi araştırılmış olup, endeksler arasında uzun dönemli eşbütünleşme ilişkisi ve S&P500
Endeksi’nden S&P Yeşil Tahvil Endeksi’ne doğru tek yönlü Granger nedensellik ilişkisinin olduğu tespit
edilmiştir. Etki-tepki analiz sonuçlarına göre ise S&P500’de meydana gelen bir şokun S&P Yeşil Tahvil
endeksinde negatif yönlü kalıcı bir etki yarattığı sonucuna ulaşılmıştır.
Anahtar Kelimeler
Yeşil Tahvil Pay Piyasası Volatilite Eşbütünleşme Analizi Etki-Tepki Analizi
Kaynakça
- Banga, Josue (2019), “The Green Bond Market: A Potential Source of Climate Finance for Developing Countries”, Journal of Sustainable Finance & Investment, 9(1), pp. 17-32.
- Baulkaran, Vishaal (2019), “Stock Market Reaction to Green Bond Issuance”, Journal of Asset Management, 20, pp. 331-340.
- Broadstock, David C. - Cheng, Louis T.W. (2019), “Time-Varying Relation Between Black and Green Bond Price Benchmarks: Macroeconomic Determinants for The First Decade”, Finance Research Letters, 29, pp. 17-22.
- Ehlers, Torsten - Packer, Frank (2017), “Green Bond Finance and Certification”, BIS Quarterly Review.
- Engle, Robert F. - Granger, Clive W.J. (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), pp. 251-276.
- Gao, Yang - Li, Yangyang. - Wang, Yaojun (2021), “Risk Spillover and Network Connectedness Analysis of China’s Green Bond and Financial Markets: Evidence from Financial Events of 2015–2020”, The North American Journal of Economics and Finance, 57, pp.1-25.
- Lee, Chi C. - Lee, Chien C. - Li, Yong Y. (2021), “Oil Price Shocks, Geopolitical Risks, and Green Bond Market Dynamics”, The North American Journal of Economics and Finance, 55, pp.1-15.
- Nazlıoğlu, Şaban - Görmüş, N. Alper - Soytaş, Uğur (2016), “Oil Prices and Real Estate Investment Trusts (Reits): Gradual- Shift Causality and Volatility Transmission Analysis”, Energy Economics, 60, pp.168-175.
- Nazlıoğlu, Şaban - Gupta, Rangan - Görmüş, N. Alper - Soytaş, Uğur (2019), “Price and Volatility Linkages Between International Reits and Oil Markets”, University of Pretoria Department of Economics Working Paper Series, 54.
- Park, Daehyeon - Park, Jiyeon - Ryu, Doojin (2020), “Volatility Spillovers Between Equity and Green Bond Markets”, Sustainability, 22, pp. 1-12.
- Pham, Linh (2016), “Is It Risky to Go Green? A Volatility Analysis of The Green Bond Market”, Journal of Sustainable Finance & Investment, 6(4), pp. 263-291.
- Pham, Linh - Nguyen, C. Phuch (2021), “How Do Stock, Oil, And Economic Policy Uncertainty Influence the Green Bond Market?”, Finance Research Letters. https://doi.org/10.1016/j.frl.2021.102128
- Phillips, Peter C.B. - Ouliaris, Sam (1990), “Asymptotic Properties of Residual Based Tests for Cointegration”, Econometrica, 58(1), pp. 165-193.
- Roboredo, Juan C. (2018), “Green Bond and Financial Markets: Co-Movement, Diversification and Price Spillover Effects”, Energy Economics, 74, pp. 38-50.
- Roboredo, Juan C. - Ugolini, Andrea (2020), “Price Connectedness Between Green Bond and Financial Markets”, Economic Modelling, 88, pp.25-38.
- Shin, Yongcheol (1994), “A Residual-Based Test of The Null of Cointegration Against the Alternative of No Cointegration”, Econometric Theory. 10, pp. 91–115.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | İşletme |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 24 Nisan 2022 |
| Gönderilme Tarihi | 28 Aralık 2021 |
| Yayımlandığı Sayı | Yıl 2022 Sayı: 94 |