Green Bonds and Commodities: A New Asymmetric Sustainable Relationship

Round 1

Reviewer 1 Report

Regarding the formal aspects, the authors should use the terms in a homogeneous manner. For example, in Section 3 they sometimes use S&P Green Bond Index in capital letters and other times S&P green bond Index (in lower case). 

In Section 2, they use the acronym GB when they have not previously defined it and, in fact, it is the only occasion they use it in the document ("Tailed dependency was found between GB and CE implying that both markets together experience up and down trend"). Below, in Figure 1 they use Green bonds, when they had previously used lower case. 

The authors mix values in Table 6 with and without decimals: 10% or 90.00%. 

In the description of table 1, there is a space missing in the dates: .... March 30,2011 to May 6, 2021 

In short, the authors should carefully edit the text. 

Regarding the sentence "Corporates can issue green bonds at a price much lower than non-green bonds for the purpose of financing green projects (Gianfrate, & Peri,2019)" included in Section 1, I believe that this sentence should be rewitten as there are a variety of factors that affect the green premium (for example, whether the study analyzes the primary or secondary market), which can be either positive or negative. MacAskill et al (2021) is a very up-to-date review of the green premium. Authors are encouraged to review this reference and reflect this diversity of results in their paper.  

In the Literature review Section on page 2 the authors note that: "Tang & Zhang (2018) examine how the shareholders are benefitted by the issuance of green bonds. According to their study, Nedbank was the first issuer of a green savings bond program in 2012. The authors found that, in terms of financial performance the return on green bonds was lower as compared to conventional bonds. In addition, they examine how green bonds are beneficial for shareholders."  The flow of ideas is not correctly explained. It is not understood that the last sentence states "in addition they study how green bonds are beneficial for shareholders", when that is the first statement they have written. Please rewrite that paragraph. It is also recommended that in the sentence "Moreover, the issuance of green bonds attracts the interest of media which in turn enhances the image of issuing firm", the authors justify that statement with a reference. It is recommended to cite Bofinger et al (2022), for example. 

On the other hand, there is a lack of additional literature on the advantages of issuing green bonds for shareholders, given the importance of the subject. Alonso and Rojo (2020) find that the issuance of Green bonds results in an increase in the IRR for shareholders in the energy project financing. 

In the first paragraph after Figure 1 the authors state that the copper, lead and metals dynamics show no temporal pattern. However, the authors do not show in Figure 1 the evolution of copper and lead. 

The statement after Table 2 "The descriptive statistics demonstrate that the metals are more volatile as compared to other commodities while the natural gas is the least volatile" should be modified as silver is considerably less volatile than corn or wheat. 

The results in Table 3 should be consistently rounded, i.e. all results should be shown for example to 4 decimal places. 

After Table 4 the authors have not defined 'Frank' copulas. 

Why in the Table 6 do the authors indicate VAR at 10%, 25%, 50 and 90% while the figure 2 represents VAR at 95%? 

I suggest that they remove the VAR 10%, 25%, 50%, 75% and show 90%, 95% and 99%. 

References: 

Alonso-Conde A-B, Rojo-Suárez J. (2020). “On the Effect of Green Bonds on the Profitability and Credit Quality of Project Financing”. Sustainability 12(16):6695. https://doi.org/10.3390/su12166695 

Bofinger Y., Heyden, K.J., Roock, B. (2022). “Corporate social responsibility and market efficiency: Evidence from ESG and misvaluation measures”. Journal of Banking and Finance 134,106322. 

MacAskill, S., E. Roca, B. Liu, R. A. Stewart, and O. Sahin (2021). "Is There a Green Premium in the Green Bond Market? Systematic Literature Review Revealing Premium Determinants." Journal of Cleaner Production 280:124491. 

Author Response

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Author Response File: Author Response.pdf

Reviewer 2 Report

This research aims to explore the relationship of corporate green bonds with commodities. The paper address an important long-standing problem and it is an interesting paper with potential for relevant practical implications. My recommendations are as follows.

1.      The contribution of the paper must be clearly explained in Introduction. At the end of the introduction, it's just not clear why we need the authors' study, why it's important and interesting to read their work, and what we are really going to learn.

2.      The authors do not formulate any hypotheses. This would not be problematic if the study was clearly exploratory, but it's not the case. The authors should build on previous research to develop (new) hypotheses to extend research on the relationship between corporate green bonds and commodities.

3.      Please align the number of decimals after the comma in all tables.

4.    The limitations of the study and future research directions need to be mentioned in Conclusion section.

Author Response

Please see the attachment

Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

I have no further comments