Our study intends to analyze the impact of market and macroeconomic variables, on the daily capital returns of Green Bonds. Specifically, we inspire our research to the literature made on conventional bonds, in order to assess the peculiarities of the green ones. In particular, our sample deals with securities traded over the period January 2016–May 2019 in Borsa Italiana, but our observation units grow over time, as the bonds start to be listed. In more detail, literature has observed as impacting factors on conventional bonds, variables like stock market (e.g., Tolikas 2018;Chiangetal. 2015), government bond yields (e.g., Graham et al. 2014; Castagnetti and Rossi 2013), or macroeconomic variables (e.g., Zhou et al. 2019; Huang et al. 2019). Consistently, we intend to illustrate the influence of factors like FTSE MIB (a stock index), Euro/Dollar exchange (as macroeconomic factor), the slope of European government bonds yield curve (as a measure of liquidity), the oil price (as a traditional energy source), or the international volatility. Through the adoption of Arellano–Bond dynamic panel regressions, we observe a significant negative autocorrelation of the dependent variable for all the period of analysis, whereas the significance of other factors like government bond yield slope, or the foreign exchange rate is not the same over time. Peculiarities of the market emerge, like the lacking influence of stocks. We also state that these instruments, even though are valid alternative to conventional bonds in order to build safer portfolios, in times of unusual volatility are exposed as well. The added value of our paper is given by the analysis of the daily capital return of these securities, with reference to factors really connected to systemic risk, whose impact has been observed in the conventional bonds market. We also insert the one-day lagged dependent variable, in order to analyze the potential presence of a market trend. For this reason, we deem interesting proceeding our research by taking into account the peculiarities of the segment, in particular the negative autocorrelation and the weak relation with the stock market. Furthermore, we point out that these instruments, even though seem to be valid alternatives to conventional bonds, can be negatively affected in times of unusual market turbulence. We think that all these issues are important elements to be analyzed, during the construction of more “sustainable” portfolios.
Green Bonds Capital Returns: The Impact of Market and Macroeconomic Variables
Ortolano, Alessandra
;Angelini, Eliana
2021-01-01
Abstract
Our study intends to analyze the impact of market and macroeconomic variables, on the daily capital returns of Green Bonds. Specifically, we inspire our research to the literature made on conventional bonds, in order to assess the peculiarities of the green ones. In particular, our sample deals with securities traded over the period January 2016–May 2019 in Borsa Italiana, but our observation units grow over time, as the bonds start to be listed. In more detail, literature has observed as impacting factors on conventional bonds, variables like stock market (e.g., Tolikas 2018;Chiangetal. 2015), government bond yields (e.g., Graham et al. 2014; Castagnetti and Rossi 2013), or macroeconomic variables (e.g., Zhou et al. 2019; Huang et al. 2019). Consistently, we intend to illustrate the influence of factors like FTSE MIB (a stock index), Euro/Dollar exchange (as macroeconomic factor), the slope of European government bonds yield curve (as a measure of liquidity), the oil price (as a traditional energy source), or the international volatility. Through the adoption of Arellano–Bond dynamic panel regressions, we observe a significant negative autocorrelation of the dependent variable for all the period of analysis, whereas the significance of other factors like government bond yield slope, or the foreign exchange rate is not the same over time. Peculiarities of the market emerge, like the lacking influence of stocks. We also state that these instruments, even though are valid alternative to conventional bonds in order to build safer portfolios, in times of unusual volatility are exposed as well. The added value of our paper is given by the analysis of the daily capital return of these securities, with reference to factors really connected to systemic risk, whose impact has been observed in the conventional bonds market. We also insert the one-day lagged dependent variable, in order to analyze the potential presence of a market trend. For this reason, we deem interesting proceeding our research by taking into account the peculiarities of the segment, in particular the negative autocorrelation and the weak relation with the stock market. Furthermore, we point out that these instruments, even though seem to be valid alternatives to conventional bonds, can be negatively affected in times of unusual market turbulence. We think that all these issues are important elements to be analyzed, during the construction of more “sustainable” portfolios.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
