Multifractal behavior of price changes in the Green Bonds funds

TL;DR

This paper investigates the multifractal nature of daily price changes in Green Bond funds, revealing persistent, high multifractality and similar behavior across most funds, which aligns with other financial assets.

Contribution

It applies Multifractal Detrended Fluctuation Analysis to Green Bond funds, demonstrating their multifractal characteristics and the impact of series shuffling on multifractality.

Findings

Green Bond funds exhibit persistent, multifractal price changes

High multifractality is common across the analyzed funds

Shuffling reduces multifractality significantly

Abstract

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.