A Study on the Spillover Effects of International Green Bond Markets and Traditional Financial Markets

Yajie Zhang; Yi Zhong

Proceedings of the 2nd International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2023, June 2–4, 2023, Nanchang, China

Research Article

A Study on the Spillover Effects of International Green Bond Markets and Traditional Financial Markets

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Cite: BibTeX Plain Text

@INPROCEEDINGS{10.4108/eai.2-6-2023.2334673,
    author={Yajie  Zhang and Yi  Zhong},
    title={A Study on the Spillover Effects of International Green Bond Markets and Traditional Financial Markets},
    proceedings={Proceedings of the 2nd International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2023, June 2--4, 2023, Nanchang, China},
    publisher={EAI},
    proceedings_a={ICIDC},
    year={2023},
    month={8},
    keywords={green bonds; financial markets; dy spillover index},
    doi={10.4108/eai.2-6-2023.2334673}
}

Yajie Zhang
Yi Zhong
Year: 2023
A Study on the Spillover Effects of International Green Bond Markets and Traditional Financial Markets
ICIDC
EAI
DOI: 10.4108/eai.2-6-2023.2334673

Yajie Zhang¹^,*, Yi Zhong¹

1: China JiLiang University

*Contact email: 1165088264@qq.com

Abstract

Based on the DY spillover index, this article investigates the interdependence between green bonds and financial markets in terms of time frequency . The empirical results indicate that there is a two-way volatility spillover between the markets and that the volatility spillover is exceptionally severe.The green bond market and bond market are net importers of volatility spillovers from equity and energy markets, especially in times of crisis. This paper provides new concepts for risk management and portfolio decisions-making for global green investors.

Keywords: green bonds; financial markets; dy spillover index

Published: 2023-08-02
Publisher: EAI

: http://dx.doi.org/10.4108/eai.2-6-2023.2334673