Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278068 
Year of Publication: 
2023
Series/Report no.: 
QBS Research Paper No. 2023/06
Publisher: 
Queen's University Belfast, Queen's Business School, Belfast
Abstract: 
We investigate if green bonds can act as a safe-haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (2017) and by comparing the regime-dependent GIRFs from a Markovswitching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe-haven asset during all regimes except during rare periods of extreme turbulence.
Subjects: 
Green bonds
Contagion
Financial crisis
Markov-switching VAR
JEL: 
C15
C34
Q56
Document Type: 
Working Paper

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