Abstract
The paper documents the hedging and safe haven benefits of green bonds in equities using the dynamic conditional correlation approach. Green bonds act as a strong hedge for eleven stock sectors in the USA. Additionally, they demonstrate a strong safe haven property with high-emission sectors for the entire study period and with all sectors except financials during the COVID-19 period. Interestingly, this hedging and safe haven benefit of green bonds is agnostic of the environmental disclosure score of a firm. Hence, investors can add green bonds to hedge their equity portfolios regardless of the environmental consciousness of their portfolio firms.
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