This study analyzes the performance of Sovereign Gold Bonds (SGB) launched by the

Government of India in 2015 and later issued in several tranches every year. We examine the role of SGB in a portfolio to achieve higher risk-adjusted returns and volatility spillover among three major asset classes - Equity, Bonds, and Gold. Our findings show that adding SGB to a portfolio provides diversification benefits, improves efficient frontier, and achieve risk-adjusted returns for investors. All three asset classes show that their volatility is highly dependent on their own lags, which supports clustering in volatility. Gold is the net recipient of volatility from equity and bonds, whereas the Bond market is the net transmitter of volatility. Our analysis has implications for policymakers, as such schemes may be helpful in strengthening the currency and managing the current account deficit.

As a newly developed financial instrument, green bonds have received substantial attention. This study focuses on two types of green bond issuers: municipalities and corporations, aiming to examine how the issuance of municipal green bonds affects the issuance of corporate green bonds. Based on the state-level green bond markets in the U.S. from 2014 to 2023, the research uses the propensity score matching (PSM) approach and regression analysis. Research findings indicate that municipal issuance has a positive influence on corporate issuance. This effect is significant during the post-pandemic period and following the implementation of green policies. However, a crowding-out effect is observed in states with high green bond issuance. Overall, this study contributes to the literature by applying the crowding-out/-in theories to analyze the internal dynamics within the green bond market and uncovering the interactions between public and private green funding activities.

We examine the demand for green bonds and sustainability-linked bonds (SLBs) in over 2,500 European and U.S. fixed income funds from 2017 to 2023. To analyze this demand, we categorize these funds into three groups: strong-ESG, medium-ESG, and conventional. Across all categories, holdings of green bonds and SLBs have increased, with strong-ESG funds maintaining the highest share. Second, we find that demand for green bonds correlates with fund characteristics such as age and past performance. Younger funds and those with weaker past performance hold a greater proportion of green bonds and SLBs. Notably, this demand is not moderated by the market greenium; rather, it is primarily driven by climate concerns and the overall growth of the sustainable securities market. Regarding regulatory and ESG-sentiment related shocks, our findings indicate that ESG funds increased their green bond holdings relative to conventional funds following the introduction of the SFDR. For SLBs, only strong-ESG funds exhibited a statistically significant rise in holdings. Additionally, the new SFDR regulatory requirements introduced in early 2023 further influenced fund allocations, driving additional investments in sustainable debt securities. The rise of the anti-ESG movement also had a measurable impact on investments in sustainable debt instruments, as U.S. ESG funds scaled back their allocations in response to the backlash. A similar pattern is observed for SLBs, though with weaker statistical significance. Using evidence from fixed income funds, our paper provides insights into how regulatory and political developments influence the demand for sustainable debt securities.

This study investigates the systemic risk spillover from various oil price shocks (demand, supply, and risk) to several green investments (sustainable, ESG, clean technology, carbon market, clean energy, and green bonds) from January 4, 2012 to September 20, 2022. Based on daily data, oil prices are decomposed then a dynamic conditional correlation model is used to assess conditional value at risk (CoVaR) as a measure of upper risk spillover from each oil price shock to green investments; after that, the hedging and safe-haven roles of the green investments in smoothing the negative effects of oil shocks is examined, especially during the pandemic and Russia-Ukraine conflict. The results show that all upper CoVaRs resulting from oil demand shock exceed the investment's upper tail VaRs during Phase 1 of COVID-19, indicating a significant oil demand shock risk spillover to all green investments. However, during Phase 2 of COVID-19 and the Russia-Ukraine conflict, only some of these investments seem to be influenced by demand oil shock. During these sub-periods, when oil supply and risk shocks rise, the upside risk of all green investments tends to be mitigated, suggesting that, during unstable periods, investors should seek green investments to mitigate the risk spillovers of these two oil shocks. Further analysis indicates that the majority of green investments serve as diversifiers for oil demand shocks, and act as hedges against oil supply and risk shocks. However, only a few of these green investments are strong safe havens.