Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/301333 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 11207
Publisher: 
CESifo GmbH, Munich
Abstract: 
This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges over the period from 13 May 2019 to 8 May 2024. The results indicate a higher degree of persistence in the case of green stock prices vis-à-vis brown ones, although the differences are not statistically significant over the full sample. However, when splitting the sample into three subperiods (pre-Covid-19, Covid-19 and post-Covid-19), statistically significant differences are found, especially during the pandemic period. Moreover, the estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence and shorter half-lives in the case of brown stocks.
Subjects: 
green stocks
brown stocks
fractional integration persistence
Covid-19 pandemic
Germany
JEL: 
C22
G10
Q50
Document Type: 
Working Paper
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