Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness

Mei-Chih Wang, Peiyun Jiang and Tsangyao Chang

The North American Journal of Economics and Finance, 2025, vol. 75, issue PA

Abstract: This study explores the role of green bonds in mitigating risks during extreme conditions, considering China and the US’ robust green bond markets and global risk events. It analyzes the interconnectedness of green bonds with other sectors like conventional bonds, equities, crude oil, and monetary policy. Using the quantile connectedness approach, it reveals how stabilized green bond markets in both countries act as hedges during extreme situations. By examining time-varying spillover effects, it identifies commonalities and differences in linkages between green bond markets and other sectors. These findings endorse green bonds’ integration into finance and hold implications for enhancing portfolio management and risk models.

Keywords: Quantile Connectedness; Green Bonds; Equities; Crude Oil; Monetary Policy; Portfolio Management; Risk (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002110

DOI: 10.1016/j.najef.2024.102286

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