Yatırımcı duyarlılığı ile ABD geleneksel ve yeşil tahvil piyasaları arasındaki bağlantılılık analizi

Year 2024, , 264 - 275, 16.12.2024

Semra Demir

https://doi.org/10.33707/akuiibfd.1451827

Abstract

Bu çalışmada, yatırımcı duyarlılığı ile ABD geleneksel ve yeşil tahvil piyasaları arasındaki dinamik bağlantılılığın incelenmesi amaçlanmıştır. Bu doğrultuda yatırımcı duyarlılığı göstergesi olarak VIX ve MOVE endeksleri, ABD geleneksel tahvil ve yeşil tahvil piyasaları için S&P Tahvil, S&P Yeşil Tahvil Endeksi kullanılmıştır. 11/02/2014-31/01/2024 dönemi günlük verilerine Q-VAR modeli uygulanmıştır. Yatırımcı duyarlılığı ABD geleneksel tahvil piyasa getirilerini %10,59, ABD yeşil tahvil piyasa getirilerini %8,24 oranında açıklamaktadır. Yatırımcı duyarlılığı göstergelerinden geleneksel tahvil getirilerini açıklayan en önemli değişken VIX, daha sonra MOVE endeksidir; yeşil tahvil piyasasında bu durumun tam tersidir. Net dinamik bağlantılılık sonuçlarına göre hem geleneksel ve hem de yeşil tahvil piyasalarında serilerin kendisi volatiliteyi alan pozisyonda, VIX ve MOVE endeksleri volatiliteyi yayan serilerdir.

Keywords

Yatırımcı Duyarlılığı, Yeşil Tahvil, Q-VAR

Dynamic connectedness analysis between investor sentiment and US conventional and green bond markets

Abstract

This study aims to examine the dynamic connectedness between investor sentiment and the US traditional and green bond markets. In this regard, VIX and MOVE indices were used as indicators of investor sentiment. For the US traditional bond and green bond markets, S&P Bonds and S&P Green Bond Index were used. Q-VAR model was applied to daily data for the period 11/02/2014-31/01/2024. Investor sentiment affects US traditional bond market returns by 10.59% and US green bond market returns by 8.24%. Among the investor sentiment indicators, the most important variable explaining traditional bond returns is VIX, followed by the MOVE index. In the green bond market, this is exactly the opposite. According to the net dynamic connectedness results, in both traditional and green bond markets, the series themselves are in the position that takes the volatility, while the VIX and MOVE indices are series that spread volatility.

Keywords

Investor Sentiment, Green Bond, Q-VAR

References

• Abdelhédi-Zouch, M., Abbes, M. B., & Boujelbène, Y. (2015). Volatility spillover and investor sentiment: Subprime crisis. Asian Academy of Management Journal of Accounting and Finance, 11(2), 83-101.
• Aharon, D. Y. (2020). Uncertainty, fear and herding behavior: Evidence from size-ranked portfolios. Journal of Behavioral Finance, 21(2), 117-127.
• Aissia, D. B. (2016). Home and foreign investor sentiment and the stock returns. The Quarterly Review of Economics and Finance, 59, 71-77.
• Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & Sarafrazi, S. (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. Journal of International Financial Markets, Institutions and Money, 28, 213-227.
• Ando, T., Greenwood-Nimmo, M., & Shin, Y. (2022). Quantile connectedness: Modeling tail behavior in the topology of financial networks. Management Science, 68(4), 2401-2431.
• Antweiler, W., & Frank, M. Z. (2004). Is all that talk just noise? The information content of internet stock message boards. The Journal of Finance, 59(3), 1259-1294.
• AYB Kronolojisi: 1998-2007 (eib.org). https://www.eib.org/en/about/key-figures/timeline/98-07.htm
• Baek, C. (2016). Stock prices, dividends, earnings and investor sentiment. Review of Quantitative Finance and Accounting, 47(4), 1043-1061.
• Baker, M., & Wurgler, J. (2000). The equity share in new issues and aggregate stock returns. Journal of Finance, 55, 2219-2257.
• Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
• Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. National Bureau of Economic Research, (No. w26945).
• Bathia, D., & Bredin, D. (2013). An examination of investor sentiment effect on G7 stock market returns. The European Journal of Finance, 19(9), 909-937.
• Baulkaran, V. (2019). Stock market reaction to green bond issuance. Journal of Asset Management, 20(5), 331–340.
• Broadstock, D. C., & Cheng, L. T. (2019). Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade. Finance Research Letters, 29, 17-22.
• Chatziantoniou, I., Abakah, E. J. A., Gabauer, D., & Tiwari, A. K. (2022). Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets. Journal of Cleaner Production, 361, 132088.
• Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891.
• Chen, G., Fang, S., Chen, Q., & Zhang, Y. (2023). Risk spillovers and network connectedness between clean energy stocks, green bonds, and other financial assets: Evidence from China. Energies, 16(20), 7077.
• Chen, H., & Zhang, Y. (2023). Research on the effect of firm-specific investor sentiment on the idiosyncratic volatility anomaly: Evidence from the Chinese market. Pacific-Basin Finance Journal, 81, 102114.
• Chesney, M., Reshetar, G., & Karaman, M. (2011). The impact of terrorism on financial markets: An empirical study. Journal of Banking & Finance, 35(2), 253-267.
• Demir, S. (2022). Finansal Piyasalarda Yatırımcı Duyarlılığı. Aktif Yayınevi.
• Doğan, B., Trabelsi, N., Tiwari, A. K., & Ghosh, S. (2023). Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty. The Quarterly Review of Economics and Finance, 89, 36-62.
• Economou, F., Panagopoulos, Y., & Tsouma, E. (2018). Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach. Research in International Business and Finance, 44, 459-470.
• Feldman, T. (2010). A more predictive index of market sentiment. Journal of Behavioral Finance, 11(4). Finextra. (2019, August 5). ICE acquires MOVE index from Bank of America Merrill Lynch. https://www.finextra.com/pressarticle/79418/ice-acquires-move-index-from-bank-of-america-merrill-lynch
• French, J. J., & Li, W. X. (2017). Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets. Research in International Business and Finance, 42, 816-831.
• Gebka, B. (2014). The non-linear and linear impact of investor sentiment on stock returns: An empirical analysis of the US market. In Recent Advances in Estimating Nonlinear Models (pp. 281-299). Springer.
• Gökgöz, H., & Kayahan, C. (2023). Analysis of the interaction of Participation 30 Index with Dow Jones Islamic Markets Index and CBOE Volatility Index. Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 25(2), 246-256.
• Graham, M., Nikkinen, J., & Peltomäki, J. (2020). Web-based investor fear gauge and stock market volatility: An emerging market perspective. Journal of Emerging Market Finance, 19(2), 127-153.
• He, Z. (2023). Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis. The North American Journal of Economics and Finance, 67, 101947.
• Higgins, S. (2019, August 1). Trump’s China tariff hike draws mixed reception from lawmakers. Washington Examiner. https://web.archive.org/web/20191119160508/https://www.washingtonexaminer.com/policy/economy/trumps-china-tariff-hike-draws-mixed-reception-from-lawmakers
• Huang, Y. S., Lu, Y. X., & Chen, Y. C. (2020). Three types of fear play market uncertainty: Evidence from bank loan. Applied Economics Letters, 28, 1-9.
• Hussein, F. (2023, January 13). Yellen tells Congress US expected to hit debt limit Thursday. Associated Press. https://apnews.com/article/united-states-government-us-department-of-the-treasury-janet-yellen-business-cf6cf1dcfc3d0d81fb5a20f8ad442f7a
• ICMA. (2021). Green Bond Principles Voluntary Process Guidelines for Issuing Green Bonds June 2021 (with June 2022 Appendix 1).
• Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of Financial Economics, 39(2-3), 181-208.
• Korkmaz, T., & Çevik, E. İ. (2009). Zımni volatilite endeksinden gelişmekte olan piyasalara yönelik volatilite yayılma etkisi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 3(2), 87-106.
• Labidi, C., & Yaakoubi, S. (2016). Investor sentiment and aggregate volatility pricing. The Quarterly Review of Economics and Finance, 61, 53-63.
• Lebelle, M., Lajili Jarjir, S., & Sassi, S. (2020). Corporate green bond issuances: An international evidence. Journal of Risk and Financial Management, 13(2), 25.
• Lee, C. C., Lee, C. C., & Li, Y. Y. (2021). Oil price shocks, geopolitical risks, and green bond market dynamics. The North American Journal of Economics and Finance, 55, 101309.
• Lee, C. C., Tang, H., & Li, D. (2022). The roles of oil shocks and geopolitical uncertainties on China’s green bond returns. Economic Analysis and Policy, 74, 494-505.
• Li, H., Li, Q., Huang, X., & Guo, L. (2023). Do green bonds and economic policy uncertainty matter for carbon price? New insights from a TVP-VAR framework. International Review of Financial Analysis, 86, 102502.
• Li, Y., Liang, C., Ma, F., & Wang, J. (2020). The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic. Finance Research Letters, 36, 101749.
• Lin, B., & Su, T. (2022). Green bond vs conventional bond: Outline the rationale behind issuance choices in China. International Review of Financial Analysis, 81, 102063.
• Lin, B., & Su, T. (2023). Uncertainties and green bond markets: Evidence from tail dependence. International Journal of Finance & Economics, 28(4), 4458-4475.
• Liu, M. (2022). The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. Economic Analysis and Policy, 75, 288-309.
• Long, S., Tian, H., & Li, Z. (2022). Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework. International Review of Financial Analysis, 84, 102416.
• Lucey, B., & Ren, B. (2023). Time-varying tail risk connectedness among sustainability-related products and fossil energy investments. Energy Economics, 126, 106812.
• Mbanga, C., Darrat, A. F., & Park, J. C. (2019). Investor sentiment and aggregate stock returns: The role of investor attention. Review of Quantitative Finance and Accounting, 53, 397-397. https://doi.org/10.1007/s11156-018-0753-2
• McGurk, Z., Nowak, A., & Hall, J. C. (2020). Stock returns and investor sentiment: Textual analysis and social media. Journal of Economics and Finance, 44(3), 458-485.
• Menzly, L., Santos, T., & Veronesi, P. (2004). Understanding predictability. Journal of Political Economy, 112(1), 1-47.
• Naifar, N. (2020). What explains the sovereign credit default swap spreads changes in the GCC region? Journal of Risk and Financial Management, 13(10), 245.
• Neal, R., & Wheatley, S. (1998). Do measures of investor sentiment predict stock returns. Journal of Financial and Quantitative Analysis, 34, 523-547.
• Nguyen, V. (2020). How implied volatilities in energy sector, crude oil and stock market affect the performance of green bond?: Evidence from green bond market. University of Vaasa School of Accounting and Finance, Master’s Degree Program in Finance.
• Öner, F. H., İçellioğlu, C. Ş., & Öner, S. (2018). Volatilite endeksi (VIX) ile gelişmekte olan ülke hisse senedi piyasası endeksleri arasındaki Engel-Granger eş-bütünleşme ve Granger nedensellik analizi. Finansal Araştırmalar ve Çalışmalar Dergisi, 10(18), 110-124.
• Papakyriakou, P., Sakkas, A., & Taoushianis, Z. (2019). The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment. Journal of International Financial Markets, Institutions and Money, 61, 143-160.
• Pham, L., & Huynh, T. L. D. (2020). How does investor attention influence the green bond market? Finance Research Letters, 35, 101533.
• Pham, L., & Cepni, O. (2022). Extreme directional spillovers between investor attention and green bond markets. International Review of Economics & Finance, 80, 186-210.
• Pineiro-Chousa, J., López-Cabarcos, M. Á., & Šević, A. (2022). Green bond market and sentiment: Is there a switching behaviour? Journal of Business Research, 141, 520-527.
• Piñeiro-Chousa, J., López-Cabarcos, M. Á., Caby, J., & Šević, A. (2021). The influence of investor sentiment on the green bond market. Technological Forecasting and Social Change, 162, 120351.
• Qin, M., Su, C. W., Zhong, Y., Song, Y., & Lobonț, O. R. (2022). Sustainable finance and renewable energy: Promoters of carbon neutrality in the United States. Journal of Environmental Management, 324, 116390.
• Reis, P. M. N., & Pinho, C. (2020). A reappraisal of the causal relationship between sentiment proxies and stock returns. Journal of Behavioral Finance, 1-23.
• Ritter, J. R. (1991). The long‐run performance of initial public offerings. The Journal of Finance, 46(1), 3-27.
• Shaobo, L., Hao, T., & Zixuan, L. (2022). Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework. International Review of Financial Analysis, 84, 102416.
• Shiller, R. J. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71(3), 421-36.
• Statista Research Department. (2023, June 7). Cumulative value of green bonds issued worldwide between 2014 and 2022, by country. https://www.statista.com/statistics/1284029/green-bonds-issued-worldwide-by-country/
• Syed, A. A., Ahmed, F., Kamal, M. A., Ullah, A., & Ramos-Requena, J. P. (2022). Is there an asymmetric relationship between economic policy uncertainty, cryptocurrencies, and global green bonds? Evidence from the United States of America. Mathematics, 10(5), 720.
• Tang, Y., Chen, X. H., Sarker, P. K., & Baroudi, S. (2023). Asymmetric effects of geopolitical risks and uncertainties on green bond markets. Technological Forecasting and Social Change, 189, 122348.
• Tian, H., Long, S., & Li, Z. (2022). Asymmetric effects of climate policy uncertainty, infectious diseases-related uncertainty, crude oil volatility, and geopolitical risks on green bond prices. Finance Research Letters, 48, 103008.
• Veri temini. (2024). www.investing.com
• Wang, J., Chen, X., Li, X., Yu, J., & Zhong, R. (2020). The market reaction to green bond issuance: Evidence from China. Pacific-Basin Finance Journal, 60, 101294.
• Wang, Y., & Chang, L. (2023). Green bonds’ liquidity in COVID-19 and low carbon investments in China: A stochastic trend analysis. Environmental Science and Pollution Research, 30(13), 36838-36850.
• Wei, P., Qi, Y., Ren, X., & Duan, K. (2022). Does economic policy uncertainty affect green bond markets? Evidence from wavelet-based quantile analysis. Emerging Markets Finance and Trade, 58(15), 4375-4388.
• Zghal, R., & Ghorbel, A. (2020). Bitcoin, VIX futures and CDS: A triangle for hedging the international equity portfolios. International Journal of Emerging Markets, Emerald Publishing Limited. https://doi.org/10.1108/IJOEM-01-2020-006
• Zhang, W., He, X., & Hamori, S. (2022). Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach. International Review of Financial Analysis, 83, 102223.