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.

本文探討綠色債券市場及其與清潔能源和碳效率行業的互動關係，以及綠色債券收益與相關股票指數之間的動態關係。 本文進一步揭示了全球日益關注的氣候變化和新冠病毒大流行對這些關係的影響。 本文利用ARIMA和GARCH模型，對綠色債券指數的時間序列特徵和波動性進行了詳細分析。 隨後VAR檢驗為這一關鍵市場的相互關聯動態提供了更深入的見解。

此外，本文還通過考察綠色債券一級市場發行成本與二級市場指數之間的聯繫，發現了發行收益率的顯著異質性，並揭示了這些關係在新冠大流行期間的顯著變化，強調了全球氣候焦點對綠色債券定價的影響。 這些發現加深了我們對綠色債券市場運作的理解，併為全球氣候變化應對背景下的可持續金融的投資者提供了重要啟示。