Dependence Structure between Green Bond Market and Asian Stock Markets: Evidence from India, China and Pakistan
DOI:
https://doi.org/10.51239/nrjss.vi.349Keywords:
Green bond, dependence, Pakistan, China, IndiaAbstract
The purpose of the underlying study is to investigate the dependence structure between the selected Asian Stock Market (Pakistan, India, and China) and Green Bonds Market. For this purpose time, a series of daily data of closing prices of all the markets were obtained from 2014 to 2021. Further, the Bivariate copula approach has been used for analyzing the data. The findings of the study reveal that there is a dependence between log-returns of three Asian stock markets (Pakistan, China, and India) and the green bond market as the best-fit copula is t-student. The student-t copula work portrays the dependence between arbitrary variables on the two tails. Although this study contributes to the literature by analyzing more countries in the future shall further add to the literature by adding a regional perspective. Lastly, the findings of the study shall aid the investors in portfolio making, risk management, and policymakers as well. The purpose of the underlying study is to investigate the dependence structure between the selected Asian Stock Market (Pakistan, India, and China) and Green Bonds Market. For this purpose time, a series of daily data of closing prices of all the markets were obtained from 2014 to 2021. Further, the Bivariate copula approach has been used for analyzing the data. The findings of the study reveal that there is a dependence between log returns of three Asian stock markets (Pakistan, China, and India) and the green bond market as the best fit copula is t-student. The student-t copula work portrays the dependence between arbitrary variables on the two tails. Although this study contributes to the literature by analyzing more countries in the future shall further add to the literature by adding a regional perspective. Lastly, the findings of the study shall aid the investors in portfolio making, risk management, and policymakers as well.
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