Price discovery of climate risk and green bonds: A dynamic information leadership share approach
This study investigates the price discovery of a novel stock market climate risk indicator, measured by the Morgan Stanley Capital International Climate Change Index (MSCI CCI) and global green bond indices. A time-varying information leadership share (ILS) measure assesses dynamic price discovery p...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
2024
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| Online Access: | http://hdl.handle.net/20.500.11937/97484 |
| _version_ | 1848766279525072896 |
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| author | Hou, Y. Xu, D. Oxley, Leslie Goodell, J.W. |
| author_facet | Hou, Y. Xu, D. Oxley, Leslie Goodell, J.W. |
| author_sort | Hou, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This study investigates the price discovery of a novel stock market climate risk indicator, measured by the Morgan Stanley Capital International Climate Change Index (MSCI CCI) and global green bond indices. A time-varying information leadership share (ILS) measure assesses dynamic price discovery performance of the MSCI CCI and green bonds. We find that the MSCI CCI index dominates in the price discovery process in terms of time-varying ILS, despite the static result indicating the opposite. Further, the outbreak of the COVID-19 pandemic had restrictively positive effects on price discovery as the crisis progressed. |
| first_indexed | 2025-11-14T11:48:37Z |
| format | Journal Article |
| id | curtin-20.500.11937-97484 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:48:37Z |
| publishDate | 2024 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-974842025-04-16T03:23:06Z Price discovery of climate risk and green bonds: A dynamic information leadership share approach Hou, Y. Xu, D. Oxley, Leslie Goodell, J.W. This study investigates the price discovery of a novel stock market climate risk indicator, measured by the Morgan Stanley Capital International Climate Change Index (MSCI CCI) and global green bond indices. A time-varying information leadership share (ILS) measure assesses dynamic price discovery performance of the MSCI CCI and green bonds. We find that the MSCI CCI index dominates in the price discovery process in terms of time-varying ILS, despite the static result indicating the opposite. Further, the outbreak of the COVID-19 pandemic had restrictively positive effects on price discovery as the crisis progressed. 2024 Journal Article http://hdl.handle.net/20.500.11937/97484 10.1016/j.frl.2024.106098 unknown |
| spellingShingle | Hou, Y. Xu, D. Oxley, Leslie Goodell, J.W. Price discovery of climate risk and green bonds: A dynamic information leadership share approach |
| title | Price discovery of climate risk and green bonds: A dynamic information leadership share approach |
| title_full | Price discovery of climate risk and green bonds: A dynamic information leadership share approach |
| title_fullStr | Price discovery of climate risk and green bonds: A dynamic information leadership share approach |
| title_full_unstemmed | Price discovery of climate risk and green bonds: A dynamic information leadership share approach |
| title_short | Price discovery of climate risk and green bonds: A dynamic information leadership share approach |
| title_sort | price discovery of climate risk and green bonds: a dynamic information leadership share approach |
| url | http://hdl.handle.net/20.500.11937/97484 |