The Short-run asymmetric effects of green and conventional bonds on the green attention index for the bull and bear regimes
| Green bonds | Conventional bonds | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| X = S&P GREEN BOND INDEX | X = S&P GREEN BND SELECT INDEX | X = S&P US MUNI GREEN BOND INDEX | X = S&P 500 composite | X = S&P 500 ENERGY BOND INDEX | X = S&P 500 FINANCIALS BOND INDEX | X = S&P 500 BOND INDEX | ||||||||
| Panel A: Bull Regime | ||||||||||||||
| ARDL model | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | |||||||
| cointEq(−1) | −0.061681 | (0.0000) | −0.074437 | (0.0002) | −0.0128745 | (0.0000) | −0.0774544 | (0.0000) | −0.0990213 | (0.0003) | −0.0118335 | (0.0000) | −0.0844719 | (0.0000) |
| dy(−1) | 0.040680 | (0.0396) | 0.0156007 | (0.04284) | 0.0184190 | (0.09406) | 0.013618 | (0.0917) | 0.0196327 | (0.02396) | 0.055795 | (0.0327) | 0.011396 | (0.09385) |
| dx1p | 0.0317375 | (0.2135) | 0.0163370 | (0.2712) | −0.037389 | (0.05121) | −0.009700 | (0.09416) | −0.206382 | (0.02135) | −0.0435296 | (0.0344) | 0.007748 | (0.9583) |
| dx1p(−1) | 0.036634 | (0.7687) | 0.0164171 | (0.03131) | −0.310292 | (0.08919) | −0.107860 | (0.03074) | −0.029088 | (0.07687) | −01.186925 | (0.03935) | 0.080701 | (0.04264) |
| Dx1n | 0.034499 | (0.0736) | 0.005195 | (0.1541) | −0.047020 | (0.01308) | 0.009802 | (0.108694) | −0.002634 | (0.08489) | 0.076045 | (0.05379) | −0.076432 | (0.08240) |
| DW statistic | 1.940574 | 1.952309 | 1.957862 | 1.981710 | 1.967857 | 2.123096 | 2.085626 | |||||||
| AIC | 8.253857 | 2.840323 | 8.367055 | 2.939304 | 3.138455 | 3.138455 | 8.350856 | 2.883741 | ||||||
| SIC | 8.486888 | 3.202815 | 8.729547 | 3.198227 | 3.425024 | 3.425024 | 8.950045 | 3.142664 | ||||||
| F- statistic | 14.88488** | 10.19312** | 8.445797* | 8.407269* | 11.50571* | 6.240168** | 8.358927* | |||||||
| Panel B: Bear Regime | ||||||||||||||
| ARDL model | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | (1,0,0,0,0) | |||||||
| cointEq(−1) | −0.081437 | (0.0000) | −0.00882 | (0.0000) | −0.079230 | (0.0000) | −0.046820 | (0.0000) | −0.0987900 | (0.0000) | −0.0134983 | (0.0000) | −0.053042 | (0.0000) |
| dy(−1) | 0.0216149 | (0.0928) | 0.0243590 | (0.01539) | 0.061609 | (0.05724) | 0.091812 | (0.0525) | 0.003385 | (0.09816) | 0.0266955 | (0.0963) | 0.017176 | (0.09138) |
| dx1p | 0.0215416 | (0.0903) | −0.0230955 | (0.01750) | −0.059639 | (0.05891) | 0.0101189 | (0.04832) | −0.001015 | (0.09945) | 0.0262567 | (0.0986) | −0.007357 | (0.09629) |
| dx1p(−1) | 0.020384 | (0.0840) | 0.094709 | (0.03572) | −0.187875 | (0.0685) | −0.015388 | (0.08826) | −0.007006 | (0.09474) | 0.0143058 | (0.1552) | −0.017568 | (0.08665v |
| Dx1n | 0.058864 | (0.0818) | 0.672198 | (0.6255) | −0.000117 | (0.04194) | 0.079522 | (0.05033) | −0.509950 | (0.534347) | 0.065901 | (0.07503) | −0.086517 | (0.067863) |
| DW statistic | 2.001148 | 2.010716 | 1.878878 | 1.944138 | 2.013460 | 2.039852 | 1.977552 | |||||||
| AIC | 5.933524 | 6.115115 | 5.802516 | 6.144084 | 6.206376 | 6.468305 | 6.147157 | |||||||
| SIC | 6.192447 | 6.348145 | 6.061439 | 6.403006 | 6.465299 | 6.314202 | 6.406080 | |||||||
| F- statistic | 9.095972** | 11.03510* | 12.78988* | 14.46889** | 10.27147* | 12.32057* | 14.39345** | |||||||
| Green bonds | Conventional bonds | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| X = S&P GREEN BOND INDEX | X = S&P GREEN BND SELECT INDEX | X = S&P US MUNI GREEN BOND INDEX | X = S&P 500 composite | X = S&P 500 ENERGY BOND INDEX | X = S&P 500 FINANCIALS BOND INDEX | X = S&P 500 BOND INDEX | ||||||||
| ARDL model | ||||||||||||||
| cointEq(−1) | −0.061681 | (0.0000) | −0.074437 | (0.0002) | −0.0128745 | (0.0000) | −0.0774544 | (0.0000) | −0.0990213 | (0.0003) | −0.0118335 | (0.0000) | −0.0844719 | (0.0000) |
| dy(−1) | 0.040680 | (0.0396) | 0.0156007 | (0.04284) | 0.0184190 | (0.09406) | 0.013618 | (0.0917) | 0.0196327 | (0.02396) | 0.055795 | (0.0327) | 0.011396 | (0.09385) |
| dx1p | 0.0317375 | (0.2135) | 0.0163370 | (0.2712) | −0.037389 | (0.05121) | −0.009700 | (0.09416) | −0.206382 | (0.02135) | −0.0435296 | (0.0344) | 0.007748 | (0.9583) |
| dx1p(−1) | 0.036634 | (0.7687) | 0.0164171 | (0.03131) | −0.310292 | (0.08919) | −0.107860 | (0.03074) | −0.029088 | (0.07687) | −01.186925 | (0.03935) | 0.080701 | (0.04264) |
| Dx1 | 0.034499 | (0.0736) | 0.005195 | (0.1541) | −0.047020 | (0.01308) | 0.009802 | (0.108694) | −0.002634 | (0.08489) | 0.076045 | (0.05379) | −0.076432 | (0.08240) |
| DW statistic | 1.940574 | 1.952309 | 1.957862 | 1.981710 | 1.967857 | 2.123096 | 2.085626 | |||||||
| AIC | 8.253857 | 2.840323 | 8.367055 | 2.939304 | 3.138455 | 3.138455 | 8.350856 | 2.883741 | ||||||
| SIC | 8.486888 | 3.202815 | 8.729547 | 3.198227 | 3.425024 | 3.425024 | 8.950045 | 3.142664 | ||||||
| F- statistic | 14.88488** | 10.19312** | 8.445797* | 8.407269* | 11.50571* | 6.240168** | 8.358927* | |||||||
| ARDL model | ||||||||||||||
| cointEq(−1) | −0.081437 | −0.00882 | (0.0000) | −0.079230 | (0.0000) | −0.046820 | (0.0000) | −0.0987900 | (0.0000) | −0.0134983 | (0.0000) | −0.053042 | (0.0000) | |
| dy(−1) | 0.0216149 | (0.0928) | 0.0243590 | (0.01539) | 0.061609 | (0.05724) | 0.091812 | (0.0525) | 0.003385 | (0.09816) | 0.0266955 | (0.0963) | 0.017176 | (0.09138) |
| dx1p | 0.0215416 | (0.0903) | −0.0230955 | (0.01750) | −0.059639 | (0.05891) | 0.0101189 | (0.04832) | −0.001015 | (0.09945) | 0.0262567 | (0.0986) | −0.007357 | (0.09629) |
| dx1p(−1) | 0.020384 | (0.0840) | 0.094709 | (0.03572) | −0.187875 | (0.0685) | −0.015388 | (0.08826) | −0.007006 | (0.09474) | 0.0143058 | (0.1552) | −0.017568 | (0.08665v |
| Dx1 | 0.058864 | (0.0818) | 0.672198 | (0.6255) | −0.000117 | (0.04194) | 0.079522 | (0.05033) | −0.509950 | (0.534347) | 0.065901 | (0.07503) | −0.086517 | (0.067863) |
| DW statistic | 2.001148 | 2.010716 | 1.878878 | 1.944138 | 2.013460 | 2.039852 | 1.977552 | |||||||
| AIC | 5.933524 | 6.115115 | 5.802516 | 6.144084 | 6.206376 | 6.468305 | 6.147157 | |||||||
| SIC | 6.192447 | 6.348145 | 6.061439 | 6.403006 | 6.465299 | 6.314202 | 6.406080 | |||||||
| F- statistic | 9.095972** | 11.03510* | 12.78988* | 14.46889** | 10.27147* | 12.32057* | 14.39345** | |||||||
Note(s): The probability values given in parentheses ( ) ; y presents the green attention index; *, and ** indicates that the model is globally significant in 10% and 5% level
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