Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets
研究了2010年9月至2021年7月间美国绿色金融资产与行业股票及大宗商品市场的收益和波动关联性，发现关联性在危机期间显著跳跃，且波动关联比收益关联更普遍。
We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some ‘big pond’ markets for e.g. commodities, whereas some others affect the connectedness negatively. Additional analysis of financial and economic uncertainty indicators manifests positive impacts from the volatility of some ‘big pond’ markets, e.g., commodities, while others negatively affect the connectedness.