Purpose – This paper aims to examine the comovement among green bonds, energy commodities and stockmarket to determine the advantages of a
Purpose – This paper aims to examine the comovement among green bonds, energy commodities and stockmarket to determine the advantages of adding green bonds to a diversified portfolio.Design/methodology/approach – Generic 1 Natural Gas and Energy Select SPDR Fund are used asproxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI areused to represent green bonds and the New York Stock Exchange is considered to measure the stock market.Granger causality test, wavelet analysis and network analysis are applied to daily price for the select marketsfrom August 26, 2014, to March 30, 2021.Findings – Results from the Granger causality test indicate no causality between any pair of variables,while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scaleduring the pandemic, validating comovement among the three asset classes. In addition, network analysisfurther corroborates this connectedness, implying a strong association of the stock market with the energycommodity market.Originality/value – This study offers new evidence of the temporal association among the US stockmarket, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach thatmeasures and evaluates comovement among the constituent series, simultaneously using both wavelet andnetwork analysis
