Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China

This paper examines the dynamic evolution and volatility spillovers between China’s green bond market and conventional financial markets (bond, stock, commodity, and foreign exchange markets) using time and frequency connectedness measures. The empirical findings are as follows: firstly, there is a...

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Main Authors: Yingliang Chen, Guifen Shi, Guanchong Hou
Format: Article
Language:English
Published: Wiley 2024-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2024/6655845
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author Yingliang Chen
Guifen Shi
Guanchong Hou
author_facet Yingliang Chen
Guifen Shi
Guanchong Hou
author_sort Yingliang Chen
collection DOAJ
description This paper examines the dynamic evolution and volatility spillovers between China’s green bond market and conventional financial markets (bond, stock, commodity, and foreign exchange markets) using time and frequency connectedness measures. The empirical findings are as follows: firstly, there is a significant volatility spillover effect between the green bond market and other traditional financial markets, with the spillover effect showing clear time-varying characteristics. The total spillover effects among all markets increase notably during extreme market conditions. Secondly, the green bond market primarily acts as a net risk spillover transmitter in most periods. Thirdly, compared to the stock, foreign exchange, and commodity markets, the green bond market has a more significant spillover effect on the traditional fixed-income market. Finally, the volatility spillover effect of the green bond market on other markets exhibits a time-frequency evolution, predominantly driven by short-term factors. However, as market maturity increases, the influencing factors of the spillover effect gradually shift from short-term to medium and long-term factors. These findings offer insights for portfolio and risk management.
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institution Kabale University
issn 1607-887X
language English
publishDate 2024-01-01
publisher Wiley
record_format Article
series Discrete Dynamics in Nature and Society
spelling doaj-art-879932eb21094110ba8e7a4b188bf2422025-02-03T01:30:20ZengWileyDiscrete Dynamics in Nature and Society1607-887X2024-01-01202410.1155/2024/6655845Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from ChinaYingliang Chen0Guifen Shi1Guanchong Hou2School of Economics and ManagementSchool of Economics and ManagementSchool of Economics and ManagementThis paper examines the dynamic evolution and volatility spillovers between China’s green bond market and conventional financial markets (bond, stock, commodity, and foreign exchange markets) using time and frequency connectedness measures. The empirical findings are as follows: firstly, there is a significant volatility spillover effect between the green bond market and other traditional financial markets, with the spillover effect showing clear time-varying characteristics. The total spillover effects among all markets increase notably during extreme market conditions. Secondly, the green bond market primarily acts as a net risk spillover transmitter in most periods. Thirdly, compared to the stock, foreign exchange, and commodity markets, the green bond market has a more significant spillover effect on the traditional fixed-income market. Finally, the volatility spillover effect of the green bond market on other markets exhibits a time-frequency evolution, predominantly driven by short-term factors. However, as market maturity increases, the influencing factors of the spillover effect gradually shift from short-term to medium and long-term factors. These findings offer insights for portfolio and risk management.http://dx.doi.org/10.1155/2024/6655845
spellingShingle Yingliang Chen
Guifen Shi
Guanchong Hou
Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China
Discrete Dynamics in Nature and Society
title Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China
title_full Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China
title_fullStr Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China
title_full_unstemmed Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China
title_short Time-Frequency Connectedness between Green Bonds and Conventional Financial Markets: Evidence from China
title_sort time frequency connectedness between green bonds and conventional financial markets evidence from china
url http://dx.doi.org/10.1155/2024/6655845
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AT guifenshi timefrequencyconnectednessbetweengreenbondsandconventionalfinancialmarketsevidencefromchina
AT guanchonghou timefrequencyconnectednessbetweengreenbondsandconventionalfinancialmarketsevidencefromchina