The Long-run asymmetric effects of green attention index green on the conventional bonds for the bull and bear regimes
| Green bonds | Conventional bonds | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | |||||||||
| Panel A: Bull regime | |||||||||||||||
| Green attention index | + | 0.4968 | (0.000) | 0.3699 | (0.9536) | 0.7821 | (0.4698) | 0.1288 | (0.0000) | 0.0028 | (0.0966) | 0.4861 | (0.0012) | 0.7712 | (0.0055) |
| − | 0.2234 | (0.5964) | 0.089 | (0.5238) | 0.4888 | (0.0332) | 0.6987 | (0.0247) | 0.8636 | (0.5332) | 0.0955 | (0.7018) | 0.8957 | (0.0057) | |
| Panel B: Bear regime | |||||||||||||||
| Green attention index | + | −0.8955 | (0.0625) | −0.8102 | (0.5025) | −0.2151 | (0.0002) | −0.0335 | (0.0000) | −0.0825 | (0.0025) | −0.6352 | (0.2666) | −0.3318 | (0.0002) |
| – | 0.3313 | (0.8150) | 0.4025 | (0.0869) | 0.1298 | (0.0254) | −0.7798 | (0.0002) | −0.2144 | (0.5874) | −0.0858 | (0.0000) | 0.6436 | (0.4205) | |
| Green bonds | Conventional bonds | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | + | 0.4968 | (0.000) | 0.3699 | (0.9536) | 0.7821 | (0.4698) | 0.1288 | (0.0000) | 0.0028 | (0.0966) | 0.4861 | (0.0012) | 0.7712 | (0.0055) |
| − | 0.2234 | (0.5964) | 0.089 | (0.5238) | 0.4888 | (0.0332) | 0.6987 | (0.0247) | 0.8636 | (0.5332) | 0.0955 | (0.7018) | 0.8957 | (0.0057) | |
| Green attention index | + | −0.8955 | (0.0625) | −0.8102 | (0.5025) | −0.2151 | (0.0002) | −0.0335 | (0.0000) | −0.0825 | (0.0025) | −0.6352 | (0.2666) | −0.3318 | (0.0002) |
| – | 0.3313 | (0.8150) | 0.4025 | (0.0869) | 0.1298 | (0.0254) | −0.7798 | (0.0002) | −0.2144 | (0.5874) | −0.0858 | (0.0000) | 0.6436 | (0.4205) | |
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