Research On Dependence Characteristics Of Green Bond Indexex

Nowadays,with rapid economic development,environmental problems are becoming increasingly prominent.Extreme weather such as haze frequently occurs.Facts have proved that environmental problems have become a major obstacle to economic development and rich life.Green finance is a system of measures taken by the financial industry to deal with environmental problems.Green bonds are an important financial instrument of green finance and an important member of the green financial system.Since green bonds first appeared in 2007,the market has continued to expand at a compound annual growth rate of more than 50 per cent.With the continuous expansion of the green bond market,it is of vital importance to study its market characteristics and its relationship with the behavior of the traditional bond market.Green bond index tracking changes and the overall behavior of the germ bond market,this paper selected the three green bonds indexes in the international market(Solactive green bond index,the S&P green bond index,Barclays-the MSCI green bond index)and a traditional bond index(S&P 500 bond index),after eliminating outliers,the data basically covers the trading situation from October 14,2014 solstice to March 14,2019.In this paper,the ARMA-GARCH-Copula model is applied for the first time to study the dynamic dependence relationship among the index returns.First,granger causality test,impulse response and variance decomposition analysis were carried out.After confirming the existence of dependency relationship between time series in a statistical sense,DCC-GARCH model and GARCH-Copula model were established to fit the dependency relationship between financial time series.The results show that:(1)granger causality,impulse response and variance decomposition analysis all prove that there is a statistical causal relationship between sequences;(2)the yield of Solactive green bond index is better fitted with the GJR-GARCH model,and there is negative leverage effect.The MSCI green bond index and the S&P 500 bond index are suitable to be fitted with the GARCH-t model.(3)DCC-GARCH model shows that the overall correlation coefficient of the yield series of MSCI-S&P 500 bond index is the highest in terms of timing sequence,yet the yield sequence of Solactive-S&P green bond index shows a negative correlation,in addition,the volatility spillover effect does exist between various index return sequences,the correlation coefficient was basically stable at about 0.4 and fluctuated between 0.1 and 0.6,with a sharp but small fluctuation;(4)in the garch-copula model,8 static Copula and 3 time-varying Copula were used to fit respectively,finally found that the optimal Copula between the yields of MSCI-S&P 500 bond index is t-Copula,which has a large tail correlation,which has a relatively large tail correlation;the yields of solactive-S&P green bond index are applicable to the time-varying normal Copula;the relations between the yield sequences of other indexes are applicable to the time-varying sjc-copula and has asymmetric tail correlation.These conclusions can provide more scientific decision-making basis for green investors to conduct portfolio analysis and risk analysis,and provide more accurate reference information for green regulators to make policies.