Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis

This paper examines the interdependence between green financial instruments, represented by bonds and stocks, a set of major conventional assets, such as Treasury, investment-grade high-yield corporate bonds, general crude oil, gold. To that end, novel wavelet-based network approach allows for assessing degree interconnection products traditional asset classes across different investment horizons is applied. The empirical results show are tightly linked to Treasury while stocks strongly tied regardless specific time period horizon considered. However, despite their common climate-friendly nature, there no remarkable association stocks. means these investments constitute basically two independent classes, with distinct risk-return profile aimed at type investor. Furthermore, have weak connection oil. These findings can important implications investors policy makers in terms decision, hedging strategies, sustainability energy policies.