POSSIBLE EFFECTS OF UNCERTAINTY FACTORS ON GREEN BOND RETURNS

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Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
Sayı: 68
POSSIBLE EFFECTS OF UNCERTAINTY FACTORS ON GREEN BOND RETURNS

POSSIBLE EFFECTS OF UNCERTAINTY FACTORS ON GREEN BOND RETURNS

Pages : 131-146

View : 125 | Download : 122

Publication Date : 2025-05-12

Article Type : Research Paper

Abstract :This study aims to determine the short and long-run relationship between green bond returns and uncertainty factors. For this purpose, study uses S&P Green Bond Index as green bond indicator and Economic Policy Uncertainty Index and Climate Policy Uncertainty Index as uncertainty factors. In addition, VIX and CDS variables, which are thought to affect the green bond market, are used as control variables in the study. In this context, the period range of the study is determined as 09/2014 - 09/2024 and the study is conducted on the S&P Green Bond Index. As a result of the study using the ARDL bounds test approach, it is found that all of the explanatory and control variables are statistically significant in the long run. The results show that the green bond market is sensitive to uncertainty and risk factors.
Keywords : Yeşil Tahvil, Belirsizlik Faktörleri, ARDL Sınır Testi

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