Green Shocks: The spillover effects of Green Equity Indices on global market dynamics

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dc.contributor.authorTrancoso, Tiago
dc.contributor.authorGomes, Sofia
dc.date.accessioned2024-04-10T13:55:01Z
dc.date.available2024-04-10T13:55:01Z
dc.date.issued2024-04-07
dc.description.abstractThis study investigates the impact of green equity indices on global market dynamics using a time-varying parameter vector autoregression (TVP-VAR) model. We uncover a significant shift in the role of the global market, transitioning from a shock transmitter to a shock receiver, as the influence of green finance grows. By directly comparing green equity indices with their corresponding global parent indices, we adopt a global perspective that transcends the limitations of studies focusing on specific regions, such as the USA, China, or Europe. This novel approach minimizes the potential biases in the transmission channels within regional markets, enabling a more comprehensive understanding of the relationship between green finance and global market dynamics. Moreover, by focusing on equity indices we ensure a consistent comparison of financial instruments, avoiding the complexities that arise when comparing different asset classes such as green bonds and conventional equities. For global investors, our results highlight the importance of dynamic and flexible hedging strategies that adapt to the distinct characteristics of green assets and their growing influence on the global market. Risk managers should incorporate these time-varying spillover effects into their models to better assess and mitigate potential risks. Policymakers should consider the growing influence of green finance on the broader market when formulating regulations and incentives to support sustainable investing, as our findings underscore the increasing importance of this sector in shaping market dynamics.
dc.identifier.citationTrancoso, T., & Gomes, S. (2024). Green Shocks: The spillover effects of Green Equity Indices on global market dynamics. Economies, 12(4), 83, 1-16. https://doi.org/10.3390/economies12040083. Repositório Institucional UPT. https://hdl.handle.net/11328/5585
dc.identifier.issn2227-7099
dc.identifier.urihttps://hdl.handle.net/11328/5585
dc.language.isoeng
dc.publisherMDPI - Multidisciplinary Digital Publishing Institute
dc.relation.hasversionhttps://doi.org/10.3390/economies12040083
dc.rightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectGreen equity indices
dc.subjectSpillovers
dc.subjectGreen finance
dc.subjectEconomic interconnectedness
dc.subjectTVP-VAR
dc.subject.fosCiências Sociais - Economia e Gestão
dc.titleGreen Shocks: The spillover effects of Green Equity Indices on global market dynamics
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage16
oaire.citation.issue4
oaire.citation.startPage1
oaire.citation.titleEconomies
oaire.citation.volume12
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.affiliation.nameREMIT - Research on Economics, Management and Information Technologies
person.familyNameGomes
person.givenNameSofia
person.identifier.ciencia-idB415-29D7-EC1A
person.identifier.orcid0000-0002-0326-0655
person.identifier.ridAAX-9149- 2021
person.identifier.scopus-author-id36983012600
relation.isAuthorOfPublication05ebcd91-a47c-4480-bf6a-7865f2014dc2
relation.isAuthorOfPublication.latestForDiscovery05ebcd91-a47c-4480-bf6a-7865f2014dc2

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