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<p>This paper examines the dependence, systemic risk spillover, return and volatility spillover, and portfolio implications across various timescales between the Green Bond (GB) and U.S. S&amp;P 500 Stock (SP), Vanguard Total World Stock Index Fund (VT), Bitcoin (BTC), Ethereum (ETH), Ripple, OIL, and GOLD markets. The sample period is August 07, 2015–October 6, 2023, covering periods of instability during the COVID-19 pandemic and the Russia–Ukraine conflict. Using the wavelet–copula–conditional value-at-risk and wavelet-multivariate asymmetric-GARCH framework, our main results show that the systemic risk and return, volatility spillovers, and diversification opportunities are portfolio-specific and timescale-dependent. Specifically, there is a negative long-term correlation for the pairs GB-SP and GB-OIL, whereas the pair GB–GOLD pair is positively correlated in the short term. GB can mitigate the risk of other markets. In terms of the portfolio implications, GB weakly hedges BTC and ETH during normal and turbulent periods but has a strong ability to hedge VT in the short term and SP in the mid and long term. Regarding hedging effectiveness, the role of GB for GOLD and VT is noted.</p>

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Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications

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  • 发表日期：

    2025年3月19日

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  • Elham Kamal,
  • Elie Bouri

摘要

This paper examines the dependence, systemic risk spillover, return and volatility spillover, and portfolio implications across various timescales between the Green Bond (GB) and U.S. S&P 500 Stock (SP), Vanguard Total World Stock Index Fund (VT), Bitcoin (BTC), Ethereum (ETH), Ripple, OIL, and GOLD markets. The sample period is August 07, 2015–October 6, 2023, covering periods of instability during the COVID-19 pandemic and the Russia–Ukraine conflict. Using the wavelet–copula–conditional value-at-risk and wavelet-multivariate asymmetric-GARCH framework, our main results show that the systemic risk and return, volatility spillovers, and diversification opportunities are portfolio-specific and timescale-dependent. Specifically, there is a negative long-term correlation for the pairs GB-SP and GB-OIL, whereas the pair GB–GOLD pair is positively correlated in the short term. GB can mitigate the risk of other markets. In terms of the portfolio implications, GB weakly hedges BTC and ETH during normal and turbulent periods but has a strong ability to hedge VT in the short term and SP in the mid and long term. Regarding hedging effectiveness, the role of GB for GOLD and VT is noted.