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The dynamic interaction between investor attention and green security market: an empirical study based on Baidu index

Yang Gao (School of Economics and Management, Beijing University of Technology, Beijing, China)
Yangyang Li (School of Economics and Management, Beijing University of Technology, Beijing, China)
Yaojun Wang (College of Information and Electrical Engineering, China Agricultural University, Beijing, China)

China Finance Review International

ISSN: 2044-1398

Article publication date: 24 December 2021

Issue publication date: 6 February 2023

739

Abstract

Purpose

This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.

Design/methodology/approach

This study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic interaction between investor attention and the return and volatility of green security markets using the rolling time window.

Findings

The empirical analysis and robustness test results reveal that the spillovers between investor attention and the return and volatility of the green bond market are relatively stable. In contrast, the spillover level between investor attention and the green stock market displays significant time-varying and asymmetric effects. Moreover, the volatility spillover between investor attention and green securities is vulnerable to major financial events, while the return spillover is extremely sensitive to market performance.

Originality/value

The conclusion further expands the practical application and theoretical framework of behavioral finance in green finance and provides a new reference for investors and regulators. Besides, this study also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management in green securities.

Keywords

Acknowledgements

This research was funded by the National Natural Science Foundation of China (72171005, 61603010), National Statistical Science Research of China (2019LY77).

Citation

Gao, Y., Li, Y. and Wang, Y. (2023), "The dynamic interaction between investor attention and green security market: an empirical study based on Baidu index", China Finance Review International, Vol. 13 No. 1, pp. 79-101. https://doi.org/10.1108/CFRI-06-2021-0136

Publisher

:

Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

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