Associate Professor Xiaohang Ren, a researcher at the base, co-authored the paper 'Analyzing the Green Bond Index: A Novel Quantile-Based High-Dimensional Approach,' which was published in the important academic journal International Review of Financial Analysis.

Abstract: The development of green bond markets is important for advancing energy efficiency, supporting renewable energy, encouraging sustainable investments, and safeguarding the environment. However, the inherent complexity and uncertainty of these markets pose significant challenges for both investors and researchers. In this study, we focus on analyzing the S&P Green Bond Index, a leading benchmark for monitoring the global green bond market. We introduce a new high-dimensional statistical method, the Quantile Group Adaptive Lasso, designed to accurately predict the returns of this index. Our empirical results demonstrate that this model surpasses several established forecasting techniques in both accuracy and stability. Furthermore, our analysis of economic significance highlights the critical influence of traditional energy-related predictors from G7 and BRICS countries on the global green bond markets. We also find that monetary policies and macroeconomic factors, such as M2 money supply, CPI, and government bond yields, play vital roles. Additionally, the robustness of our proposed method is confirmed. Overall, our study provides a powerful tool that not only significantly enhances forecasting performance but also deepens the understanding of the interplay between trends in green bond markets and information from energy sectors and broader economic conditions.

Keywords: Green bond；Forecasting；High-dimensional model；Sustainable investment；Energy efficiency

Link: https://doi.org/10.1016/j.irfa.2024.103659

Teacher profile

Xiaohang Ren is a Distinguished Associate Professor at the Business School, Central South University, an Elsevier China Highly Cited Researcher, and a Top 2% Scientist Worldwide. He mainly engages in research on energy finance, financial risk, and financial econometrics. He has published more than 100 papers in authoritative journals at home and abroad,including Journal of the American Statistical Association,Transportation Research Part A, Energy Economics, Quantitative Finance, Review of Quantitative Finance and Accounting, International Review of Financial Analysis, Technological Forecasting and Social Change, Business Strategy and the Environment, Pacific-Basin Finance Journal, Applied Energy, Resources Policy, Renewable & Sustainable Energy Reviews, Energy, Journal of Management Sciences in China (English Edition), Systems Engineering — Theory and Practice, and Chinese Journal of Management Science. Among these, more than 30 are ESI Hot Papers/Highly Cited Papers. He serves as Section Editor of Sustainable Communities (Taylor & Francis), Associate Editor of journals such as Humanities & Social Sciences Communications (the only humanities and social sciences journal under Nature), and Guest Editor of several SSCI journals including Climate Change Economics and Economic Change and Restructuring