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Green Bonds Capital Returns: The Impact of Market and Macroeconomic Variables

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Contemporary Issues in Sustainable Finance

Part of the book series: Palgrave Studies in Impact Finance ((SIF))

Abstract

This chapter is an investigation on the determinants of Green Bonds capital returns, with a focus on market and macroeconomic variables. These instruments are showing an exponential growth, as tested by Initiative Climate Bonds. In our study we observe Borsa Italiana market over the period 2016–2019, adopting Arellano–Bond dynamic panel regressions. Our results state peculiarities, like the negative autocorrelation or the lacking influence of stock market. We highlight that in times of unusual turbulence, green bonds are exposed to market volatility like conventional ones. Definitively, since recent research has shown the deep impact of market and macroeconomic variables on the latter, our aim is investigating if the same trend deals with Green Bonds or if there are some specificities.

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Author information

Authors and Affiliations

  1. Department of Economic Studies, D’Annunzio University of Chieti-Pescara, Chieti-Pescara, Italy

    Alessandra Ortolano & Eliana Angelini

Authors
  1. Alessandra Ortolano
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  2. Eliana Angelini
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Corresponding author

Correspondence to Alessandra Ortolano .

Editor information

Editors and Affiliations

  1. Department of Management, Sapienza University of Rome, Rome, Italy

    Mario La Torre

  2. Department of Management and Business Administration, G. d’Annunzio University of Chieti-Pescara, Pescara, Italy

    Helen Chiappini

Annex

Annex

See Tables 4.7, 4.8, 4.9, and 4.10.

Table 4.7 Correlation matrix 2016
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Table 4.8 Correlation matrix 2017
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Table 4.9 Correlation matrix 2018
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Table 4.10 Correlation matrix 2019
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Ortolano, A., Angelini, E. (2021). Green Bonds Capital Returns: The Impact of Market and Macroeconomic Variables. In: La Torre, M., Chiappini, H. (eds) Contemporary Issues in Sustainable Finance. Palgrave Studies in Impact Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-030-65133-6_4

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  • DOI: https://doi.org/10.1007/978-3-030-65133-6_4

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