Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications

被引：20

作者：

Xia, Yufei ^{[1
]}

Shi, Zhengxu ^{[1
]}

Du, Xiaoying ^{[1
]}

Niu, Mengyi ^{[2
]}

Cai, Rongjiang ^{[3
]}

机构：

[1] Jiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R China

[2] Jiangsu Normal Univ, Jingwen Lib, Xuzhou 221116, Jiangsu, Peoples R China

[3] Ningbo Univ Technol, Sch Econ & Management, Ningbo 315211, Zhejiang, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 55卷

基金：

中国国家自然科学基金;

关键词：

Economic policy uncertainty; Green assets; Hedge; TVP-VAR; EGARCH; VOLATILITY; GOLD;

D O I：

10.1016/j.frl.2023.103874

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines whether green assets can hedge against economic policy uncertainty (EPU) via asymmetric time-varying connectedness and EGARCH models. Using daily data in China spanning from March 2014 to June 2022, we find that (1) an evident asymmetric connectedness exists between green assets and EPU. (2) Green bond, carbon emission allowances and some green stocks can act as hedging or safety-haven assets against EPU, and the conclusion remains robust to an alternative proxy of EPU. (3) The minimum variance and connectedness portfolios provide superior performance during pre- and post-COVID-19 periods, respectively, thereby carrying substantial portfolio implications.

引用

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