eISSN: 2618-6446
Conferences Latest Issue Archive Future Issues About Us JOURNALS

SETSCI - Volume 3 (2018)
ISAS2018-Winter - 2nd International Symposium on Innovative Approaches in Scientific Studies, Samsun, Turkey, Nov 30, 2018

Green Bond Market Efficiency Test and Forecasting of Green Bond Prices (ISAS2018-Winter_9)
Gülsüm Akarsu1*
1Ondokuz Mayıs University, Samsun, Turkey
* Corresponding author: gulsum.akarsu@omu.edu.tr
Published Date: 2019-01-14   |   Page (s): 61-65
   |    9     5

ABSTRACT Climate change and environmental concerns led the investors to search for environmentally sustainable and friendly investments. Green bonds market has emerged as a result of this need. This study aims to analyze this market focusing on market efficiency. Market efficiency has been one of the main debates that have attracted high level of attention in the finance literature. There is large number of studies examining validity of efficient market hypothesis. However, up to our knowledge, there is not any study for the green bonds market. The weak form of market efficiency is tested for green bonds market and the study also performs forecasting of green bond returns and prices. Daily S&P Green Bond Index covering the period from 31st July 2014 to 19th October 2018 is used for the analysis. In order to consider the nonlinearity in the series, nonlinear unit root tests are also employed besides the linear unit root tests. Bond returns and prices are forecasted based on univariate linear and nonlinear time series models. The forecasting performances of various models are compared. As findings are in line with the efficient market hypothesis, one can conclude that there are not any arbitrage opportunities in the market.  
KEYWORDS Green Bonds, Market Efficiency, Forecasting, Nonlinear Unit Root Tests, Nonlinear Time Series Models
REFERENCES [1] S. Y. Kandır and S. Yakar, “Yeşil Tahvil Piyasaları: Türkiye’de Yeşil Tahvil Piyasasının Geliştirilebilmesi için Öneriler,” Ç.Ü. Sosyal
Bilimler Enstitüsü Dergisi, vol. 26, no. 2, pp. 159-175, 2017.
[2] L. Pham, “Is it risky to go green? A volatility analysis of the green bond market,” Journal of Sustainable Finance & Investment, vol. 6, no. 4, pp. 263-291, 2016. DOI: 10.1080/20430795.2016.1237244.
[3] E. F. Fama, “Random Walks in Stock Market Prices,” Financial Analysts Journal, vol. 21, no. 5, pp. 55–59, 1965. JSTOR, JSTOR, www.jstor.org/stable/4469865.
[4] P. A. Samuelson.,” Proof That Properly Anticipated Prices Fluctuate
Randomly,” Industrial Management Review, vol. 6, no. 2, pp. 41-49, Spring, 1965.
[5] A. G. Titan, “The Efficient Market Hypothesis: review of specialized literature and empirical research”, Procedia Economics and Finance,
Emerging Markets Queries in Finance and Business, vol. 32, pp. 442– 449, 2015. doi: 10.1016/S2212-5671(15)01416-1
[6] E. F. Fama, "Efficient Capital Markets: A Review of Theory and Empirical Work," The Journal of Finance, vol. 25, no. 2, pp. 383-417, 1970. doi:10.2307/2325486.
[7] E. F. Fama, Foundations of Finance: Portfolio Decisions and Securities Price, New York: Basic Books, 1976.
[8] W. H. Beaver, “Market Efficiency,” The Accounting Review, vol. 56, no. 1, pp. 23-37, Jan. 1981. http://www.jstor.org/stable/246460 Accessed: 18-05-2018 15:32 UTC.
[9] M. J. Brennan and E. S. Schwartz, “Bond Pricing and Market Efficiency,” Financial Analysts Journal, vol. 38, no. 5, pp. 49-56, Sep. - Oct. 1982. http://www.jstor.org/stable/4478576 Accessed: 19- 05-2018 07:48 UTC.
[10] L. Zunino, A. F. Bariviera, M. B. Guercio, L. B. Martinez, and O. A. Rosso, “On the efficiency of sovereign bond markets,” Physica A, vol. 391, pp. 4342–4349, 2012.
[11] S. Katz, “The price and adjustment process of banks to rating reclassification: A test of bond market efficiency,” Journal of Finance, vol. 29, pp. 551–559, 1974.
[12] C-C. Lee, J.-D., Lee, and C-C., Lee, “Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks,” Japan and the World Economy, vol. 22, pp. 49–58, 2010.
[13] A. F. Bariviera, M. B. Guercio, and L. B. Martinez, “A comparative analysis of the informational efficiency of the fixed income market in seven European countries,” Economics Letters, vol. 116, pp. 426-428, 2012.
[14] G. Kapetanios, Y. Shin, A. Snell, “Testing for a unit root in the nonlinear STAR framework,” Journal of Econometrics, vol. 12, pp. 359–379, 2003.
[15] S. J. Leybourne, P. Newbold,. and D. Vougas, “Unit roots and smooth transitions,” Journal of Time Series Analysis, vol. 19, pp. 83–97, 1998.
[16] R. Sollis, “Asymmetric Adjustment and Smooth Transitions: A Combination of Some Unit Root Tests,” Journal of Time Series Analysis, vol. 25, pp. 409–417, 2004.
[17] R. Sollis, “A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries,” Economic Modelling, vol. 26, pp. 118–125, 2009.
[18] W. Enders and C. W. J. Granger, “Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates,” Journal of Business Economic & Statististics, vol. 16, pp. 304–11, 1998.

SET Technology - Turkey

eISSN  : 2618-6446

E-mail : info@set-science.com
+90 533 2245325

Tokat Technology Development Zone Gaziosmanpaşa University Taşlıçiftlik Campus, 60240 TOKAT-TURKEY
©2018 SET Technology