The Interconnectedness between Green Finance Indexes and Other Important Financial Variables

Abstract

In this article, the authors explore the degree of interconnectedness between stock indexes adjusted for green revenues of companies from major economies and various other important macroeconomic and financial variables. For the most complex model considered, the analysis indicates that the green revenue index for China is directly related to the green revenue indexes of the US, Europe and UK, only to Apple but not to Microsoft, and to none of the macroeconomic variables included in the study. The analysis shows that gold price risk is orthogonal on climate change risk. Oil prices and international bond prices seem to impact the green revenues of companies in China and the UK only through the related green revenues of the intermediary companies in the US and Europe.