TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH

Selim Güngör

doi:10.17261/Pressacademia.2024.1943

TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH

Abstract

Purpose- Governments and businesses worldwide are actively driving the growth of green finance (GF) markets as part of their goals towards a natural, sustainable, zero-carbon economy. Along with the turbulent events and developments in global markets, economic policy uncertainty (EPU) levels are constantly increasing, leading to significant spillover shocks on various economic and financial factors. Accordingly, this research aims to identify the dynamic connectivity between cable news-based EPU (TVEPU) and green asset returns, considering the period between 01.10.2014 and 30.09.2024. Methodology- This research employs the TVP-VAR connectedness method to examine the nexus between TVEPU and the returns of green assets. This approach enables the estimation of a generalized connectedness procedure using variance-covariance matrices and time-varying coefficients. Additionally, by applying Wold's representation theorem, it calculates generalized impulse response functions (GIRF) and variance decompositions (GFEVD) to predict the connectedness indices between the variables. Findings- First, we observe that the Fossil Fuel Reserves Free index has the highest influence on other indices while the TVEPU index has the lowest impact on other indices. Second, we find that shocks from international events and news significantly increase the sensitivity of the spillover effects between green assets and TVEPU. Third, we demostrate that the Green Bond (GB) market is a net shock receiver; simultaneously, the Fossil Fuel Reserves Free, Sustainability World and Environmental and Social Responsibility indices are net shock transmitters. Moreover, the findings demonstrate that the net spillover of TVEPU, Global Clean Energy, Carbon Emission Allowances (CEAs) and Renewable Energy and Clean Technology indices changes over time. Fourth, we determine that TVEPU has a meagre impact on the returns of green stocks (GSs) and GBs. Conclusion- This research provides strong evidence that news from wired news networks also impacts uncertainty shocks, emphasising that green asset investors should determine their portfolio diversification and hedging strategies by considering this factor.

Keywords

References

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Details

Primary Language

English

Subjects

Behavioural Finance, Finance, Finance and Investment (Other), Business Administration

Journal Section

Research Article

Authors

Selim Güngör ^*
0000-0002-2997-1113
Türkiye

Publication Date

December 31, 2024

Submission Date

August 29, 2024

Acceptance Date

December 7, 2024

Published in Issue

Year 2024 Volume: 13 Number: 2

DOI

https://doi.org/10.17261/Pressacademia.2024.1943

IZ

https://izlik.org/JA42KR26TL

Cite

RIS / Bibtex

APA

Güngör, S. (2024). TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH. Journal of Business Economics and Finance, 13(2), 88-98. https://doi.org/10.17261/Pressacademia.2024.1943

AMA

1.Güngör S. TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH. JBEF. 2024;13(2):88-98. doi:10.17261/Pressacademia.2024.1943

Chicago

Güngör, Selim. 2024. “TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH”. Journal of Business Economics and Finance 13 (2): 88-98. https://doi.org/10.17261/Pressacademia.2024.1943.

EndNote

Güngör S (December 1, 2024) TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH. Journal of Business Economics and Finance 13 2 88–98.

IEEE

[1]S. Güngör, “TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH”, JBEF, vol. 13, no. 2, pp. 88–98, Dec. 2024, doi: 10.17261/Pressacademia.2024.1943.

ISNAD

Güngör, Selim. “TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH”. Journal of Business Economics and Finance 13/2 (December 1, 2024): 88-98. https://doi.org/10.17261/Pressacademia.2024.1943.

JAMA

1.Güngör S. TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH. JBEF. 2024;13:88–98.

MLA

Güngör, Selim. “TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH”. Journal of Business Economics and Finance, vol. 13, no. 2, Dec. 2024, pp. 88-98, doi:10.17261/Pressacademia.2024.1943.

Vancouver

1.Selim Güngör. TIME-VARYING CONNECTEDNESS BETWEEN GREEN MARKETS AND CABLE NEWS-BASED ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM A TVP-VAR CONNECTEDNESS APPROACH. JBEF. 2024 Dec. 1;13(2):88-9. doi:10.17261/Pressacademia.2024.1943