The Resilience of Green Bonds During Market Turmoil: Implications for Investors and Policymakers
研究绿色债券与股票、商品、数字货币等市场的联动性，发现COVID-19期间绿色债券与其他市场呈强负相关，可作为安全资产，对投资者和政策制定者有参考价值。
ABSTRACT Despite significant growth, green bonds comprise less than 1% of the conventional bonds market, and more research is needed to determine their role as diversifiers, hedges or safe havens. In compliance. This study examines the co‐movement between green bonds and various financial markets (stocks, commodities, digital currencies, bonds and foreign exchange) before and during COVID‐19, using daily data from 28/11/2008 to 21/3/2022 and using quantile‐based analysis. The findings based on quantile‐on‐quantile regression confirm an asymmetric/non‐linear association between green bonds and other financial markets before COVID‐19, with the association varying depending on market conditions, such as bearish, normal and bullish. During the COVID‐19 period, a robust negative correlation is identified between green bonds and other financial markets, affirming the safe‐haven role of green bonds against broader financial markets. These findings have important policy implications for investors, fund managers and policymakers. For increased diversification, investors in conventional and Islamic equities, commodities, conventional bonds, Sukuk markets, virtual and foreign currency markets can find it advantageous to include green bonds as a protection to downside risk.