EXPLORING THE LINKAGES BETWEEN GREEN BONDS AND INTERNATIONAL FINANCIAL MARKETS: AN INTERNATIONAL PORTFOLIO PERSPECTIVE

Maqsood-Ur-Rehman; Irfan Ullah Khan; Muhammad Niaz Khan

doi:10.53664/JSRD/05-02-2024-23-277-288

Authors

Maqsood-Ur-Rehman PhD Scholar, Department of Public Administration, Gomal University, Dera Ismail Khan, Pakistan
Irfan Ullah Khan Assistant Professor, Department of Public Administration, Gomal University, Dera Ismail Khan
Muhammad Niaz Khan Assistant Professor, Institute of Management Sciences, University of Science & Technology Bannu

DOI:

https://doi.org/10.53664/JSRD/05-02-2024-23-277-288

Abstract

The aim of study is to examine the dynamic linkages between green bond & international financial markets. In particular, the study investigates the inter-connections among green bonds, world’s developed and emerging equity markets, commodities market (gold & oil) and the foreign exchange market. Sample period ranges from July 1, 2014, to June 30, 2023 encircling numerous important events including COVID-19 pandemics. For empirical investigation, study used combination of several econometric techniques including Johansen Cointegration model and Granger Causality test and analysis for examining short & for long-term associations among markets. Results of study show that these markets are linked in varying degrees in long-run as evident from cointegration results that show two cointegrating vectors. This infers that there are limited diversification benefits specially in long-run in selected markets. In short-run, results show diversification potential as showed by results from Granger Causality tests. Results have important implications for investors & fund managers in making portfolio decisions, & policy makers in devising various strategies for risk mitigation during turbulent periods.