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Economic Sentiment and Climate Transition During the COVID-19 Pandemic

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Financial Market Dynamics after COVID 19

Part of the book series: Contributions to Finance and Accounting ((CFA))

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Abstract

This paper analyzes the dependence between a newspaper-based economic sentiment index of the United States and four climate-themed financial indices since the outbreak of the COVID-19 pandemic. We use the quantile cross-spectral technique of Barunik and Kley (The Econometrics Journal 22:131–152, 2019), which allows dependence to vary across different time horizons and market conditions. Results show that when market conditions were very poor, dependence is strongest between economic sentiment and green bonds index in the intermediate time. However, under normal market returns, results show a similar pattern of increased dependence across the weekly, monthly and yearly cycles for all the climate-themed indices except green bonds. Besides, at the peak of the COVID-19 pandemic, normal returns dependence with economic sentiment was mostly positive and stronger than the lower and higher quantiles. Lastly, the strongest dependence under the 0.05|0.95 quantiles during the peak of COVID-19 pandemic occurred with green bonds in the short-term.

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Author information

Authors and Affiliations

  1. German Development Institute, Bonn, Germany

    Gideon Ndubuisi

  2. Department of Economics, National University of Lesotho, Rome, Lesotho

    Denis Yuni

  3. Department of Economics, University of Namibia, Windhoek, Namibia

    Ernest Ngeh Tingum

Authors
  1. Gideon Ndubuisi
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  2. Denis Yuni
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  3. Ernest Ngeh Tingum
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Corresponding author

Correspondence to Gideon Ndubuisi .

Editor information

Editors and Affiliations

  1. UMI SOURCE, UVSQ, IRD, University Paris, Saclay, France

    Stéphane Goutte

  2. CRECC, Paris School of Business, Paris, France

    Khaled Guesmi

  3. CRECC, Paris School of Business, Paris, France

    Christian Urom

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Ndubuisi, G., Yuni, D., Tingum, E.N. (2022). Economic Sentiment and Climate Transition During the COVID-19 Pandemic. In: Goutte, S., Guesmi, K., Urom, C. (eds) Financial Market Dynamics after COVID 19 . Contributions to Finance and Accounting. Springer, Cham. https://doi.org/10.1007/978-3-030-98542-4_7

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