Risk spillover and network connectedness analysis of China’s green bond and financial markets: Evidence from financial events of 2015–2020

Yang Gao, Yangyang Li and Yaojun Wang

The North American Journal of Economics and Finance, 2021, vol. 57, issue C

Abstract: This study investigated the dynamic return and volatility spillovers, together with the network connectedness analysis between China’s green bond and main financial markets. Based on a multidimensional DCC-GJRGARCH model and the spillover index method, we found significant two-way risk spillovers between the green bond market and traditional bond markets. Moreover, the green bond market was subject to one-way risk spillover from the stock and commodities markets. Meanwhile, risk spillovers between the green bond market, forex market, and monetary market were not significant. Finally, network connectedness analysis provided specific information about connectivity and strength during different subperiods corresponding to financial events. The analysis indicated that under the influence of emergencies, China’s financial market will enhance the risk-spillover level by transforming the same type of market’s internal spillover into cross-market spillover.

Keywords: Green bond market; DCC-GJRGARCH model; Volatility spillover; Network connectedness (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000231

DOI: 10.1016/j.najef.2021.101386

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