Multifractal behavior of price changes in the Green Bonds funds
By: Wenderson Gomes Barbosa , Kerolly Kedma Felix do Nascimento , Fábio Sandro dos Santos and more
Climate change has driven the market to seek new ways of raising funds to mitigate its effects. One such innovation is the emergence of Green Bonds financial assets specifically designed to support sustainable projects. This study explores the fractal behavior of daily price changes in thirty-five Green Bond funds using the Multifractal Detrended Fluctuation Analysis (MFDFA) method. Our results indicate that price changes exhibit persistent behavior and high multifractality, characterized by large fluctuations. Only one of the thirty-five time series analyzed showed an outlier result, suggesting that the funds display very similar behavior. By shuffling the series, we were able to reduce multifractality significantly. These findings suggest that Green Bond funds exhibit multifractal behavior typical of other financial assets.
Similar Papers
Multifractality and its sources in the digital currency market
Statistical Finance
Finds hidden patterns in digital money prices.
The information flow among Green Bonds exchange traded funds
Applications
Shows how money news travels between green investments.
Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers
Statistical Finance
Shows how money flow makes markets uncertain.