Market efficiency and Volatility persistence of green investments before and during COVID-19 pandemic

Yaya, OlaOluwa S and Akano, Rafiu O and Adekoya, Oluwasegun B. (2021): Market efficiency and Volatility persistence of green investments before and during COVID-19 pandemic. Forthcoming in: Asian Economic Letters

Abstract

Market efficiency and volatility persistence of five green investments, before and during the COVID-19 pandemic, are investigated by employing a nonlinear I(d) framework with Chebyshev polynomial in time. Results show that green investments are more efficient before the crisis, and also volatility persists more, when compared to the period during the crisis, except in MSCI global green building index. Thus, green investors are likely to make arbitrage profits during the pandemic.

• Item Type: MPRA Paper
• Language: English
• Keywords: Green investment; volatility persistence; COVID-19 pandemic
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q47 - Energy Forecasting

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