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The Performance of Green Bonds in theSecondary Bond Market of the Europeanregion During the Covid-19 Outbreak
Jönköping University, Jönköping International Business School. (05)
2022 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Sustainable development
Sustainable Development
Abstract [en]

In this research paper, the green bond premium is described as the yield discrepancy of a greenbond and its corresponding conventional bond, and is addressed through a strict matchingprocess. More precisely, this research paper analyzed the influence of non-financial motivations,such as environmentally friendly orientation, on bond prices in the secondary bond market withinthe European region as a consequence of the COVID-19 surge. Thus, the examined periods ofthis study are for the pre-COVID-19 period 01.01.2018 - 02-28-2020 as well as the COVID-19period 03.02.2020- 12.31.2021. The findings of this paper showed for the period pre-pandemic apositive green bond premium of 3 bps, whilst for the pandemic period, a negative green bondpremium of 1.3 bps. The green bond premium has been statistically altered across the twoexamined periods, implying a significant impact of the COVID-19 viral outbreak on thesecondary bond market in the European region. The negative green bond premium during thepandemic period indicates that investors lose 1.3 bps on average when holding GB in contrast toCBs, whilst issuers benefit from reduced financing expenses for GBs in contrast to CBs.Moreover, the findings of a positive green bond premium for the pre-pandemic period indicatethat investors expected compensation in the form of a greater yield on green bonds. Nevertheless,the findings of a negative green bond period for the pandemic period indicate that investorsaccepted a lesser yield on CBs in comparison to the equivalent matched CB in order to fundenvironmentally conscious initiatives. The article further investigated the green bonds’ volatilityin contrast to their corresponding conventional bonds by looking at the standard deviation of thedaily ask-yield. Despite the fact that green bonds showed a bit of higher volatility, the papercould not reach any firm conclusion caused by the limitation of statistical significance.

Place, publisher, year, edition, pages
2022. , p. 73
Keywords [en]
Green bonds, Conventional bonds, bond yields, bond volatility, COVID-19
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-57082ISRN: JU-IHH-FÖA-2-20221569OAI: oai:DiVA.org:hj-57082DiVA, id: diva2:1667900
Subject / course
JIBS, Business Administration
Supervisors
Available from: 2022-06-22 Created: 2022-06-11 Last updated: 2022-06-22Bibliographically approved

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CiteExportLink to record
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