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

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

Öz

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.

Anahtar Kelimeler

• Yatırımcı Duyarlılığı
• Yeşil Tahvil
• Q-VAR

Kaynakça

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