Price discovery of climate risk and green bonds: A dynamic information leadership share approach

Hou, Y.; Xu, D.; Oxley, Leslie; Goodell, J.W.

doi:10.1016/j.frl.2024.106098

Access Status

In process

Authors

Hou, Y.

Xu, D.

Oxley, Leslie

Goodell, J.W.

Date

2024

Type

Journal Article

Metadata

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Citation

Hou, Y. and Xu, D. and Oxley, L. and Goodell, J.W. 2024. Price discovery of climate risk and green bonds: A dynamic information leadership share approach. Finance Research Letters. 69.

Source Title

Finance Research Letters

DOI

10.1016/j.frl.2024.106098

ISSN

1544-6123

Faculty

Faculty of Business and Law

School

School of Accounting, Economics and Finance

URI

http://hdl.handle.net/20.500.11937/97484

Collection

Curtin Research Publications

Abstract

This study investigates the price discovery of a novel stock market climate risk indicator, measured by the Morgan Stanley Capital International Climate Change Index (MSCI CCI) and global green bond indices. A time-varying information leadership share (ILS) measure assesses dynamic price discovery performance of the MSCI CCI and green bonds. We find that the MSCI CCI index dominates in the price discovery process in terms of time-varying ILS, despite the static result indicating the opposite. Further, the outbreak of the COVID-19 pandemic had restrictively positive effects on price discovery as the crisis progressed.