Market efficiency and Volatility persistence of green investments before and during COVID-19 pandemic

Market efficiency and volatility persistence of five green investments, before and during the COVID-19 pandemic, are investigated by employing a nonlinear I(d) framework with Chebyshev polynomial in time. Results show that green investments are more efficient before the crisis, and also volatility persists more, when compared to the period during the crisis, except in MSCI global green building index. Thus, green investors are likely to make arbitrage profits during the pandemic