How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach

45 Pages Posted: 18 Nov 2019

See all articles by Linh Pham

Linh Pham

University of Central Oklahoma - Department of Economics

Date Written: November 16, 2019

Abstract

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

Pham, Linh, How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach (November 16, 2019). USAEE Working Paper No. 19-419. Available at SSRN: https://ssrn.com/abstract=3488402 or http://dx.doi.org/10.2139/ssrn.3488402

Linh Pham (Contact Author)

University of Central Oklahoma - Department of Economics ( email )

Edmond, OK 73034
United States

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