Обзор исследований по проблеме эффективности рынка зеленых облигаций
Журнал «KANT» №4(49) 2023 [стр. 4-7]
DOI: 10.24923/2222-243X.2023-49.1
Ключевые слова: субрынок; финансовый инструмент; финансово неискушенный инвестор; риск контрагента; спот-рынок; репо; опционные контракт.
Цитировать: Курляндский В.В., Зайцев А.А. Обзор исследований по проблеме эффективности рынка зеленых облигаций // KANT. – 2023. – №4(49). – С. 4-7. EDN: AHISIR. DOI: 10.24923/2222-243X.2023-49.1
В обзорной статье анализируется круг вопросов, обсуждаемых в научных публикациях 2013–2023 годов, посвященных проблеме эффективности рынка облигаций, обоснованию экономической целесообразности создания эффективного рынка зеленых облигаций, доказательствам рациональности выбранного в результате появления зеленых облигаций пути развития международного финансового рынка. В качестве начала временного интервала анализа публикаций выбран 2013 год, когда автор концепции эффективного рынка Eugene F. Fama получил Премию Шведского государственного банка по экономическим наукам памяти Альфреда Нобеля. Цель статьи - предложить путь для будущих исследований.
Литература:
1. Международный стандарт финансовой отчетности (IAS) 32 "Финансовые инструменты: представление" (Веден в действие на территории Российской Федерации приказом Минфина России от 28.12.2015 № 217н; с учетом поправок документов МСФО, введенных в действие на территории Российской Федерации приказами Минфина России от 27.06.2016 № 98н, от 11.07.2016 № 111н; от 04.06.2018 № 125н; от 14.12.2020 № 304н) (IAS 32: Financial Instruments. Presentation. Origin: ifrs.org / IAS 32 Financial Instruments: Presentation, Version: June 2020, https://www.ifrs.org/issued-standards/list-of-standards/ias-32-financial-instruments-presentation).
2. Markowitz, H.M. (1952). "Portfolio Selection". The Journal of Finance 7 (1): 77-91. doi:10.2307/2975974. http://jstor.org/stable/2975974.
3. Sharpe, William F. (1963). "A Simplified Model for Portfolio Analysis". Management Science. 9 (2): 277-93. doi:10.1287/mnsc.9.2.277. S2CID 55778045.
4. William Sharpe, Gordon J. Alexander, Jeffrey W Bailey Investments, Prentice Hall, 1995, p. 1058.
5. Global Fintech Institute – World Scientific Series on Fintech: Volume 2. Finance for Fintech Professionals Edited By: David Kuo Chuen Lee (Global Fintech Institute, Singapore & Singapore University of Social Sciences, Singapore), Joseph Lim (Singapore University of Social Sciences, Singapore), Kok Fai Phoon (Singapore University of Social Sciences, Singapore), and Yu Wang (Singapore University of Social Sciences, Singapore) 2022 Pages: 964 https://doi.org/10.1142/12389
6. Green Bond Principles. Voluntary Process Guidelines for Issuing Green Bonds. ICMA, June 2021 (with June 2022 Appendix 1) https://www.icmagroup.org/assets/documents/Sustainable-finance/2021-updates/Green-Bond-Principles-June-2021-140621.pdf
7. Eugene F. Fama Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417.
8. Exchange of the year: The Luxembourg Stock Exchange https://www.environmental-finance.com/content/awards/environmental-finances-bond-awards-2023/winners/exchange-of-the-year-the-luxembourg-stock-exchange.html
9. Cortellini, Giuseppe; Panetta, Ida Claudia (2021) : Green bond: A systematic literature review for future research agendas, Journal of Risk and Financial Management, ISSN 1911-8074, MDPI, Basel, Vol. 14, Iss. 12, pp. 1-29, https://doi.org/10.3390/jrfm14120589
10. Holechek, Jerry L., Hatim M. E. Geli, Mohammed N. Sawalhah, and Raul Valdez. 2022. "A Global Assessment: Can Renewable Energy Replace Fossil Fuels by 2050?" Sustainability 14, no. 8: 4792. https://doi.org/10.3390/su14084792
11. Rupsha Bhattacharyya . Green finance for energy transition, climate action and sustainable development: overview of concepts, applications, implementation and challenges. Green Finance, 2022, 4(1): 1-35. doi: 10.3934/GF.2022001
12. Hyun, S., Park, D. & Tian, S. The price of frequent issuance: the value of information in the green bond market. Econ Change Restruct (2022). https://doi.org/10.1007/s10644-022-09417-0
13. Mark Shugurov. International cooperation on climate research and green technologies in the face of sanctions: The case of Russia [J]. Green Finance, 2023, 5(2): 102-153. doi: 10.3934/GF.2023006
14. Chen J., Siddik A.B., Zheng G.-W., Masukujjaman M., Bekhzod S. (2022) The Effect of Green Banking Practices on Banks' Environmental Performance and Green Financing: An Empirical Study. Energies, 15, 1292. https://doi.org/10.3390/en15041292
15. Chien F., Sadiq M., Nawaz M.A., Hussain M.S., Tran T.D., Thanh T.L. (2021) A Step Toward Reducing Air Pollution in Top Asian Economies: The Role of Green Energy, Eco-innovation, and Environmental Taxes. Journal of Environmental Management, 297, 113420. https://doi. org/10.1016/j.jenvman.2021.113420
16. Ullah A., Ahmed M., Raza S.A., Ali S.A. (2021) A Threshold Approach to Sustainable Development: Nonlinear Relationship Between Renewable Energy Consumption, Natural Resource Rent, and Ecological Footprint. Journal of Environmental Management, 295, 113073. https://doi.org/10.1016/j.jenvman.2021.113073
17. Ejaz, R., Ashraf, S., and Gupta, A. (2022). An empirical investigation of market risk, dependence structure, and portfolio management between green bonds and international financial markets. J. Clean. Prod. 365, 132666. doi:10.1016/j.jclepro.2022.132666
18. Горбачева Т.А., Буневич К.Г. Анализ практики "зеленых" финансов в Соединенных Штатах Америки, Великобритании и Российской Федерации. Управление. 2022;10(3):29-37. https://doi.org/10.26425/2309-3633-2022-10-3-29-37
19. Wang, Yang & Taghizadeh-Hesary, Farhad, 2023. "Green bonds markets and renewable energy development: Policy integration for achieving carbon neutrality," Energy Economics, Elsevier, vol. 123(C). doi: 10.1016/j.eneco.2023.106725
20. ПАО "Московская биржа" Сектор устойчивого развития. https://www.moex.com/s3019.
1. Международный стандарт финансовой отчетности (IAS) 32 "Финансовые инструменты: представление" (Веден в действие на территории Российской Федерации приказом Минфина России от 28.12.2015 № 217н; с учетом поправок документов МСФО, введенных в действие на территории Российской Федерации приказами Минфина России от 27.06.2016 № 98н, от 11.07.2016 № 111н; от 04.06.2018 № 125н; от 14.12.2020 № 304н) (IAS 32: Financial Instruments. Presentation. Origin: ifrs.org / IAS 32 Financial Instruments: Presentation, Version: June 2020, https://www.ifrs.org/issued-standards/list-of-standards/ias-32-financial-instruments-presentation).
2. Markowitz, H.M. (1952). "Portfolio Selection". The Journal of Finance 7 (1): 77-91. doi:10.2307/2975974. http://jstor.org/stable/2975974.
3. Sharpe, William F. (1963). "A Simplified Model for Portfolio Analysis". Management Science. 9 (2): 277-93. doi:10.1287/mnsc.9.2.277. S2CID 55778045.
4. William Sharpe, Gordon J. Alexander, Jeffrey W Bailey Investments, Prentice Hall, 1995, p. 1058.
5. Global Fintech Institute – World Scientific Series on Fintech: Volume 2. Finance for Fintech Professionals Edited By: David Kuo Chuen Lee (Global Fintech Institute, Singapore & Singapore University of Social Sciences, Singapore), Joseph Lim (Singapore University of Social Sciences, Singapore), Kok Fai Phoon (Singapore University of Social Sciences, Singapore), and Yu Wang (Singapore University of Social Sciences, Singapore) 2022 Pages: 964 https://doi.org/10.1142/12389
6. Green Bond Principles. Voluntary Process Guidelines for Issuing Green Bonds. ICMA, June 2021 (with June 2022 Appendix 1) https://www.icmagroup.org/assets/documents/Sustainable-finance/2021-updates/Green-Bond-Principles-June-2021-140621.pdf
7. Eugene F. Fama Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417.
8. Exchange of the year: The Luxembourg Stock Exchange https://www.environmental-finance.com/content/awards/environmental-finances-bond-awards-2023/winners/exchange-of-the-year-the-luxembourg-stock-exchange.html
9. Cortellini, Giuseppe; Panetta, Ida Claudia (2021) : Green bond: A systematic literature review for future research agendas, Journal of Risk and Financial Management, ISSN 1911-8074, MDPI, Basel, Vol. 14, Iss. 12, pp. 1-29, https://doi.org/10.3390/jrfm14120589
10. Holechek, Jerry L., Hatim M. E. Geli, Mohammed N. Sawalhah, and Raul Valdez. 2022. "A Global Assessment: Can Renewable Energy Replace Fossil Fuels by 2050?" Sustainability 14, no. 8: 4792. https://doi.org/10.3390/su14084792
11. Rupsha Bhattacharyya . Green finance for energy transition, climate action and sustainable development: overview of concepts, applications, implementation and challenges. Green Finance, 2022, 4(1): 1-35. doi: 10.3934/GF.2022001
12. Hyun, S., Park, D. & Tian, S. The price of frequent issuance: the value of information in the green bond market. Econ Change Restruct (2022). https://doi.org/10.1007/s10644-022-09417-0
13. Mark Shugurov. International cooperation on climate research and green technologies in the face of sanctions: The case of Russia [J]. Green Finance, 2023, 5(2): 102-153. doi: 10.3934/GF.2023006
14. Chen J., Siddik A.B., Zheng G.-W., Masukujjaman M., Bekhzod S. (2022) The Effect of Green Banking Practices on Banks' Environmental Performance and Green Financing: An Empirical Study. Energies, 15, 1292. https://doi.org/10.3390/en15041292
15. Chien F., Sadiq M., Nawaz M.A., Hussain M.S., Tran T.D., Thanh T.L. (2021) A Step Toward Reducing Air Pollution in Top Asian Economies: The Role of Green Energy, Eco-innovation, and Environmental Taxes. Journal of Environmental Management, 297, 113420. https://doi. org/10.1016/j.jenvman.2021.113420
16. Ullah A., Ahmed M., Raza S.A., Ali S.A. (2021) A Threshold Approach to Sustainable Development: Nonlinear Relationship Between Renewable Energy Consumption, Natural Resource Rent, and Ecological Footprint. Journal of Environmental Management, 295, 113073. https://doi.org/10.1016/j.jenvman.2021.113073
17. Ejaz, R., Ashraf, S., and Gupta, A. (2022). An empirical investigation of market risk, dependence structure, and portfolio management between green bonds and international financial markets. J. Clean. Prod. 365, 132666. doi:10.1016/j.jclepro.2022.132666
18. Горбачева Т.А., Буневич К.Г. Анализ практики "зеленых" финансов в Соединенных Штатах Америки, Великобритании и Российской Федерации. Управление. 2022;10(3):29-37. https://doi.org/10.26425/2309-3633-2022-10-3-29-37
19. Wang, Yang & Taghizadeh-Hesary, Farhad, 2023. "Green bonds markets and renewable energy development: Policy integration for achieving carbon neutrality," Energy Economics, Elsevier, vol. 123(C). doi: 10.1016/j.eneco.2023.106725
20. ПАО "Московская биржа" Сектор устойчивого развития. https://www.moex.com/s3019.
Review of research on green bond market efficiency challenge
Keywords: sub-market; financial instrument; financially unsophisticated investor; counterparty risk; spot market; repo; option contract.
The review article analyzes the range of issues discussed in scientific publications in 2013-2023 devoted to the problem of the efficiency of the bond market, the rationale for the economic feasibility of creating an efficient green bond market, evidence of the rationality of the path of development of the international and Russian national financial markets chosen as a result of the emergence of green bonds. The year 2013 was chosen as the beginning of the time interval for the analysis of publications, when the author of the concept of an efficient market, Eugene F. Fama, received the Alfred Nobel Memorial Prize of the Swedish State Bank for Economic Sciences. This paper aims to indicate the way forward for future research.