CEU Electronic Theses and Dissertations, 2020
| Author | Bat-Ulzii, Enkhzul |
|---|---|
| Title | Risk And Return Analysis On Green Bond Exchange Traded Funds |
| Summary | In the last couple of years, fixed-income funds have emerged as new players in the environmental impact investing field of the capital market, however, investors have narrow knowledge about the trading activity of sustainable debt instruments. Especially, green bond portfolios are increasingly at the center of attention, but investors are less confident as its risk and return behavior remain uncertain. Thus, this paper models return volatility of existing green bond exchange-traded funds, while contrasting them with that of a vanilla bond ETF and concluding with suggestions for optimal asset allocation to green bond portfolios. The volatility of returns will be obtained by GARCH process. To adjust my work with current economic reality, the paper also addresses the impact of Covid-19 triggered economic crisis on the performance of these ETFs and depicts their degree of persistence. As a result of the analysis, I found that in ordinary market conditions, green ETFs closely followed the broad bond market with daily volatility between 0.2 to 0.4 percent. During the Covid-19 pandemic, however, the broad bond market experienced 12 times higher while green bond ETFs experienced around up to 8 times higher volatility during its peak than their normal rate. |
| Supervisor | Lee Tomy |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2020/bat-ulzii_enkhzul.pdf |
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