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Wenderson Gomes Barbosa

Publications and source records attributed to Wenderson Gomes Barbosa.

2 recordsLinked to original sources
arXiv2025

Multifractal behavior of price changes in the Green Bonds funds

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.

stat.AP↗
arXiv2025

The information flow among Green Bonds exchange traded funds

This article investigates the information flow between 13 Green Bond ETFs (Exchange Traded Funds) from three global markets: the USA, Canada,and Europe, between 2021 and 2022. We used the transfer entropy and effective transfer entropy methods to model and investigate the Green Bond price information flow between these global markets. The American market demonstrated market dominance among the other two markets (Canadian and European). The FLMB Green Bond of the American ETF presented the greatest flow of information transfer among the ETFs analyzed, being considered the dominant ETF among the three Green Bond ETF markets investigated. The HGGB ETF has emerged as a major information transmitter in Europe and in the Canadian market, but it has had a strong influence from the American ETF FLMB. In the European market, the FLRG and GRON.MI bonds played a major role in the flow of information sent to other ETFs in Europe. The KLMH.F in Europe is highlighted as the largest receiver of information. Thus, through this article, it was possible to understand the direction of the flow of information between the Green Bond ETF markets and their dimensionality.

stat.AP↗