RESUMEN
Unlike most previous studies considering the yields on green bonds versus conventional bonds or the hedging ability of green bonds against downside market risk, the main purpose of this paper is to paper examine the short-term response of green and conventional bonds to the Russia-Ukraine conflict shock and the US Federal monetary policy tightening. Using daily data from August 3, 2021 to March 29, 2022, this paper conducts an event-based study (Cumulative Abnormal Returns, CAR) and then applies a hedging analysis in the context of increasing geopolitical risk and financial stress. The analysis reveals that green bonds exhibit a stronger reaction to the Russia-Ukraine conflict and the US Federal rate hike than conventional, municipal, and treasury bonds in different time frames. Compared to conventional, municipal, and treasury bonds, green bonds offer lower negative CAR responses during the event window and the [-5, +5] period, suggesting a rigidity feature. The dynamic correlation and hedging analysis indicate that green bonds, unlike the other bonds indices, have a negative dynamic correlation with both geopolitical risks and financial stress, implying a hedging ability around the conflict shock and the Federal tightening cycle. These findings enrich the existing literature on green bonds, offering a wide range of applications for investment managers and policymakers.
RESUMEN
This paper examines the impact of COVID-19 nationwide lockdown on the relationship between weather anomaly and the Vietnam stock market - a fast-growing emerging market. The paper employs event study methodology to compute the cumulative abnormal return of stocks during the pandemic, and the Holt-Winters Exponential Smoothing model to build the formula for weather anomaly for weather variables. In addition, a t-test is performed to examine the statistical significance of weather variables, as well as the impact that the lockdown order had on stock performance. Cross-sectional analysis by Ordinary Least Squares regression is also applied for estimating the relationship between weather and stock market performance. The finding shows that prior to the COVID-19 lockdown, all of the risk and return indicators, with the exception of idiosyncratic risk, are affected by temperature. After the lockdown order was withdrawn, temperature is only correlated with cumulative real returns and cumulative abnormal returns. Meanwhile, air pressure only appears to have an influence on cumulative abnormal returns after the lockdown, yet being the only meteorological factor that could impact the stock market during the lockdown. Generally, the larger the weather anomaly, the worse the returns and the higher the risks. The paper gives recommendations for listed companies and authorities to have better performance while engaging in and regulating the stock markets. Moreover, the results can be used as a reference for the investing community to incorporate meteorological factors into their analysis.
RESUMEN
Based on China's anti-epidemic bond data, this paper investigates stock market reactions to the anti-epidemic bond issuance announcements during the COVID-19 pandemic. We find that anti-epidemic bond issuance significantly increases the cumulative abnormal return (CAR) compared with conventional bond issuance.
RESUMEN
This study takes the COVID-19 outbreak as a quasi-natural experiment to investigate whether corporate social responsibility (CSR) performance can help firms mitigate drops in their share prices. The results show that CSR ratings are positively associated with cumulative abnormal return (CAR) during the COVID-19 outbreaks periods. Further, the positive role of CSR is more significant for non-state-owned enterprises (non-SOE) and those located in regions with lower levels of marketization.