Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/335572 
Year of Publication: 
2025
Publisher: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
This paper investigates the role of investor sentiment in the pricing and volatility dynamics of green bond exchange-traded funds (ETFs). The paper combines verbal description with a literature review, and it does not engage in actual data-based research analysis. While the literature on sentiment finance and ESG investing has expanded rapidly, empirical evidence focusing on fixed-income ESG instruments remains limited. We address this gap by employing modern natural language processing (NLP) techniques to construct sentiment indicators derived from news coverage and sustainability-related textual information. These indicators may be used to examine their impact on returns and volatility of selected green bond ETFs. By combining behavioural finance insights with state-of-the-art NLP methods, the paper contributes to sustainable finance research and highlights the informational role of textual data in green financial markets.
Subjects: 
NLP model
ESG
Exchange Traded Funds
JEL: 
C45
C55
G11
G17
Document Type: 
Working Paper

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