Static and Dynamic Connectedness Between Green Bonds and Clean Energy Markets

The green bond market has become one of the most promising mechanisms to raise financial sources for projects with environmental benefits that not only achieve carbon–neutral goals but also allow to diversify the risk and hedging. In this study, we examine the possible interdependence between the green bond market and seven energy markets, including Wilder Hill Clean Energy Index, S&P Global Clean Energy Index, Nasdaq Clean Edge Green Energy, Ardour Global Solar Energy Index, S&P Global Water Index, and MSCI Global Green Building Index using Diebold and Yilmaz's (2012) spillover framework. Our findings show that movements in the clean energy market have a spillover effect in the green bond market. Additionally, the spread of risk is asymmetrical.