Differential impact of multiple risks on green and conventional bond markets: Evidence from multifractal analysis

Fengyuan Shi and Yaoqi Guo

Research in International Business and Finance, 2025, vol. 77, issue PB

Abstract: Various major events (e.g., the 2008 economic crisis, the COVID-19 pandemic, and the Russia–Ukraine war) have introduced a surge in uncertainty across various fields, causing severe harm to financial markets. From a multifractal perspective, this study explores the correlation between economic, geopolitical, market, and energy uncertainties and green and conventional bond markets. By analyzing data from the economic policy uncertainty index, geopolitical risk index, market volatility index, crude oil volatility index, S&P green bond index, and S&P conventional bond index, spanning the period from July 5, 2016, to February 27, 2023, the study employs asymmetric multifractal detrended cross-correlation analysis and multifractal detrended cross-correlation analysis based on risk transmission to investigates the complex correlations and interactions among these variables. Results reveal that the multifractal correlations between uncertainties and bond markets are heterogeneous and related to uncertainty fields, bond market types, time series trends, and size fluctuations. Large fluctuations primarily cause multifractals between uncertainties and bond markets. Moreover, the findings indicate that bond markets must pay attention to risks from the economic and geopolitical fields and can avoid the risks from the market and energy fields. The results also confirm that green bonds are generally more risk-averse than conventional bonds.

Keywords: Uncertainty; Bond markets; Multifractal (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925001886

DOI: 10.1016/j.ribaf.2025.102932

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