Navigating the Green Bond Market: A Thorough Scrutiny of Time-Series Volatility, Market Interactions, and Yield Heterogeneity Amid Global Climate Change and COVID-19

Abstract

This research investigates the intricacies of the green bond market and its interaction with the clean energy and carbon-efficient sectors, scrutinizing the dynamic relationships between green bond returns and relevant equity indices. It specifically focuses on the influence of the increasing global climate change focus and the COVID-19 pandemic on these relationships. Leveraging ARIMA and GARCH models, this study performs a detailed analysis of the inherent time-series characteristics and volatility of the Green Bond Index itself. A subsequent VAR examination offers deeper insights into the interconnected dynamics of this pivotal market.

Moreover, the research uncovers a significant heterogeneity in offering yields by examining the linkage between the primary interest cost of green bonds and the secondary green bond market index. The analysis reveals pronounced shifts in these relationships during the pandemic period, emphasizing the considerable impact of global climate focus on green bond pricing. These findings enhance our comprehension of the green bond market operations and provide crucial insights for stake holders in sustainable finance in the context of global climate change response.

Date of Award	21 Aug 2024
Original language	English
Awarding Institution	City University of Hong Kong
Supervisor	Junbo WANG (Supervisor)