Thesis Type: Postgraduate
Institution Of The Thesis: Dokuz Eylül University, Sosyal Bilimler Enstitüsü, İktisat Ana Bilim Dalı, Turkey
Approval Date: 2025
Thesis Language: Turkish
Student: MARİEM JLASSI
Supervisor: Hakan Kahyaoğlu
Open Archive Collection: AVESIS Open Access Collection
Abstract:This thesis delves into the intricate relationship between green bonds and cryptocurrency markets, a relationship that despite the increasing global importance of both asset classes, remains notably under-explored. Employing a daily time series dataset spanning from November 9, 2017 to May 23, 2025, the study utilizes the dynamic Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model, augmented with R2 decomposed connectedness measures. This well-specified econometric framework allows for the quantification of connectedness to highlight key drivers within the system of chosen green bond indices S&P Green Bond Index and MSCI Global Environment Select Index, and major cryptocurrencies Bitcoin, Ethereum, and Litecoin. The empirical findings demonstrate an elevated and time-varying level of interconnectedness between these markets, with the immediacy of shock transmission being a predominant characteristic, since the majority of volatility and risk spillovers occur contemporaneously. Cryptocurrencies, Ethereum in particular, often act as net transmitters of shocks within the system, exhibiting significant two-way flow of shocks. Conversely, the S&P Green Bond Index consistently seems to be a net receiver of shocks, stressing its vulnerability to external shocks originating from other markets, including cryptocurrencies. The MSCI Global Environment Select Index exhibits a more nuanced role, generally being a net receiver while occasionally acting as a net transmitter, although compared to cryptocurrencies it is less dominant in transmission. Periods of elevated spillovers and increased net reception by green bonds often coincide with global economic distress or market turmoil, such as the COVID-19 pandemic, suggesting an intensification of interconnectedness during crises. the results bear crucial implications for investors and policymakers, the findings highlight the need for dynamic risk management strategies and reassessment of traditional diversification benefits in portfolios that include both green bonds and cryptocurrencies. For policymakers, understanding these developing relationships is essential for mitigating potential financial risks and promoting financial stability in an increasingly interconnected global financial landscape where environmental concerns and digital innovation are paramount.