Table 4 Correlation matrix between green... | Emerald Publishing

Table 4

Correlation matrix between green and conventional bonds returns and ESG index in the bull and bear regimes

		Green bonds			Conventional bonds				Green attention index
		S&P GREEN BOND INDEX	S&P GREEN BND SELECT INDEX	S&P US MUNI GREEN BOND INDEX	S&P 500 COMPOSITE	S&P 500 ENERGY BOND INDEX	S&P 500 FINANCIALS BOND INDEX	S&P 500 BOND INDEX	Green attention index
Panel A: bull regime
Green bonds	S&P GREEN BOND INDEX	1.0000	0.0097	−0.2026	−0.1379	−0.0894	0.0524	0.0010	0.0427
	S&P GREEN BND SELECT INDEX	0.0097	1.0000	−0.0616	−0.0257	−0.1631	−0.0064	−0.0892	0.1294
	S&P US MUNI GREEN BOND INDEX	−0.2026	−0.0616	1.0000	0.1206	0.1790	−0.2327	−0.0003	0.0230
Conventional bonds	S&P 500 COMPOSITE	−0.1379	−0.0257	0.1206	1.0000	0.0120	−0.0350	−0.0034	−0.1843
	S&P 500 ENERGY BOND INDEX	−0.0894	−0.1631	0.1790	0.0120	1.0000	−0.0972	−0.0202	−0.0369
	S&P 500 FINANCIALS BOND INDEX	0.0524	−0.0064	−0.2327	−0.0350	−0.0972	1.0000	0.0758	−0.2152
	S&P 500 BOND INDEX	0.0010	−0.0892	−0.0003	−0.0034	−0.0202	0.0758	1.0000	−0.0513
	Googling ESG index	0.0427	0.1294	0.0230	−0.1843	−0.0369	−0.2152	−0.0513	1.0000
Panel B: bear regime
Green bonds	S&P GREEN BOND INDEX	1.0000	−0.2164	−0.0570	−0.0130	0.0022	−0.0733	0.0050	0.0055
	S&P GREEN BND SELECT INDEX	−0.2164	1.0000	−0.0123	0.0407	−0.0548	0.0633	−0.1099	0.0202
	S&P US MUNI GREEN BOND INDEX	−0.0570	−0.0123	1.0000	−0.0598	−0.0185	−0.1102	−0.1082	0.0552
Conventional bonds	S&P 500 COMPOSITE	−0.0130	0.0407	−0.0598	1.0000	0.1127	−0.0074	−0.0292	−0.0682
	S&P 500 ENERGY BOND INDEX	0.0022	−0.0548	−0.0185	0.1127	1.0000	0.0754	0.0826	−0.0909
	S&P 500 FINANCIALS BOND INDEX	−0.0733	0.0633	−0.1102	−0.0074	0.0754	1.0000	−0.0493	−0.2765
	S&P 500 BOND INDEX	0.0050	−0.1099	−0.1082	−0.0292	0.0826	−0.0493	1.0000	−0.0488
Green attention index		0.0055	0.0202	0.0552	−0.0682	−0.0909	−0.2765	−0.0488	1.0000

		Green bonds			Conventional bonds				Green attention index
		S&P GREEN BOND INDEX	S&P GREEN BND SELECT INDEX	S&P US MUNI GREEN BOND INDEX	S&P 500 COMPOSITE	S&P 500 ENERGY BOND INDEX	S&P 500 FINANCIALS BOND INDEX	S&P 500 BOND INDEX	Green attention index
Panel A: bull regime
Green bonds	S&P GREEN BOND INDEX	1.0000	0.0097	−0.2026	−0.1379	−0.0894	0.0524	0.0010	0.0427
	S&P GREEN BND SELECT INDEX	0.0097	1.0000	−0.0616	−0.0257	−0.1631	−0.0064	−0.0892	0.1294
	S&P US MUNI GREEN BOND INDEX	−0.2026	−0.0616	1.0000	0.1206	0.1790	−0.2327	−0.0003	0.0230
Conventional bonds	S&P 500 COMPOSITE	−0.1379	−0.0257	0.1206	1.0000	0.0120	−0.0350	−0.0034	−0.1843
	S&P 500 ENERGY BOND INDEX	−0.0894	−0.1631	0.1790	0.0120	1.0000	−0.0972	−0.0202	−0.0369
	S&P 500 FINANCIALS BOND INDEX	0.0524	−0.0064	−0.2327	−0.0350	−0.0972	1.0000	0.0758	−0.2152
	S&P 500 BOND INDEX	0.0010	−0.0892	−0.0003	−0.0034	−0.0202	0.0758	1.0000	−0.0513
	Googling ESG index	0.0427	0.1294	0.0230	−0.1843	−0.0369	−0.2152	−0.0513	1.0000
Panel B: bear regime
Green bonds	S&P GREEN BOND INDEX	1.0000	−0.2164	−0.0570	−0.0130	0.0022	−0.0733	0.0050	0.0055
	S&P GREEN BND SELECT INDEX	−0.2164	1.0000	−0.0123	0.0407	−0.0548	0.0633	−0.1099	0.0202
	S&P US MUNI GREEN BOND INDEX	−0.0570	−0.0123	1.0000	−0.0598	−0.0185	−0.1102	−0.1082	0.0552
Conventional bonds	S&P 500 COMPOSITE	−0.0130	0.0407	−0.0598	1.0000	0.1127	−0.0074	−0.0292	−0.0682
	S&P 500 ENERGY BOND INDEX	0.0022	−0.0548	−0.0185	0.1127	1.0000	0.0754	0.0826	−0.0909
	S&P 500 FINANCIALS BOND INDEX	−0.0733	0.0633	−0.1102	−0.0074	0.0754	1.0000	−0.0493	−0.2765
	S&P 500 BOND INDEX	0.0050	−0.1099	−0.1082	−0.0292	0.0826	−0.0493	1.0000	−0.0488
Green attention index		0.0055	0.0202	0.0552	−0.0682	−0.0909	−0.2765	−0.0488	1.0000