All Outputs (4)

Do oil shocks affect the green bond market? (2022)
Journal Article
Rehman, M. U., Raheem, I. D., Zeitun, R., Vo, X. V., & Ahmad, N. (2022). Do oil shocks affect the green bond market?. Energy Economics, 117, Article 106429. https://doi.org/10.1016/j.eneco.2022.106429

This study examines the predictive power of oil shocks for the green bond markets. In line with this aim, we investigated the extent to which oil shocks could be used to accurately make in- and out-of-sample forecasts for green bond returns. Three st... Read More about Do oil shocks affect the green bond market?.

Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond (2022)
Journal Article
Mensi, W., Rehman, M. U., & Vo, X. V. (2022). Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond. International Review of Financial Analysis, 81, 102125. https://doi.org/10.1016/j.irfa.2022.102125

We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approach... Read More about Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond.

Dependence dynamics of US REITs (2022)
Journal Article
Rehman, M. U., Shahzad, S. J. H., Ahmad, N., & Vo, X. V. (2022). Dependence dynamics of US REITs. International Review of Financial Analysis, 81, Article 102124. https://doi.org/10.1016/j.irfa.2022.102124

The US real estate market presents itself as a highly capital intensive business and therefore an important part of the US economy. We examine the presence of dependence between 50 US financial REITs from 1st January 2006 to 20th July 2020 categorize... Read More about Dependence dynamics of US REITs.

Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions (2022)
Journal Article
Rehman, M. U., Vo, X. V., McIver, R., & Kang, S. H. (2022). Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions. Energy Economics, 108, Article 105878. https://doi.org/10.1016/j.eneco.2022.105878

This study investigates relationships between US equity sector returns and energy commodity— crude oil, natural gas, gasoline, and gas oil—prices over short-run and long-run investment horizons. We decompose 22 years of daily raw return series on sam... Read More about Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions.