How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach
45 Pages Posted: 18 Nov 2019
Date Written: November 16, 2019
This paper investigates the integration among sub-sectors within the environmentally friendly stock market and the integration between these sub-sectors and other financial asset classes. Using the recently developed cross-quantilogram framework, we contribute to the literature by quantifying the cross-quantile directional spillovers among regional green equity markets and other financial assets. First, we find that within the green equity market, the U.S. sector is the main transmitter of shocks while the Asian sector is the main receiver of shocks, however, the integration among regional green equity markets dissipates in the long run. Second, we find that the relationship between green equity markets and other financial assets such as energy commodity and conventional stock varies across regions and market conditions. Our results imply that understanding the heterogeneity in the internal and external integration of the green equity market is crucial for the design of successful investment strategies and effective policy incentives to promote environmentally friendly investments.
Keywords: green equity market; internal and external spillovers; cross-quantile dependence
JEL Classification: C5; G1; Q4
Suggested Citation: Suggested Citation