Abstract
We analyze multifractality for green bonds, stock sector indices, and US economic sector bonds. Green bonds and US bonds show non-linear cross-correlations. We perform Multifractal Detrended Cross-Correlations Analysis (MF-DCCA) to analyze multifractal cross-correlations and the weak version of the Efficient Market Hypothesis (EMH). Our findings are relevant to academics, financial professionals and the general public. Although green bonds are bonds used exclusively to finance sustainable investments, they are still inefficient assets. We find that bond indices for consumer staples and equity indices for information technology and the real state sector can be used to hedge investments in green bonds.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.