Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets
研究了绿色债券、ESG指数、传统股票和政府证券之间的动态波动溢出效应，发现绿色债券是主要波动接收者，而标普500及其ESG指数是净传递者，ESG资产在动荡市场中能有效对冲风险。
ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions and dynamic conditional correlation generalized autoregressive conditional heteroskedasticity models, it explores dynamic links between green bonds, ESG indices, traditional equities, and government securities. The overall findings reveal significant volatility spillovers, with green bonds as major recipients and the S&P 500 and S&P 500 ESG indices as net transmitters across market conditions. Practical hedging insights show the effectiveness of ESG assets for portfolio stability during turbulence, offering valuable guidance for investors striving to harmonize profitability with sustainability goals while strengthening portfolio resilience and long‐term stability.