The relationship between green market risk aversion and climate risk: evidence from dynamic mean and volatility spillovers
研究了绿色债券和股票市场中风险厌恶的时变特征，以及媒体气候变化关注指数与绿色市场风险厌恶之间的均值和波动溢出关系，发现气候风险信息在长期中主导绿色市场风险厌恶，尤其在新冠疫情期间更显著。
This study investigates the time-varying salience of risk aversion in mainstream green bond and equity markets. Further, we examine the mean and volatility transmissions between a new indicator of climate risk, which is the media climate change concern (MCCC) index, and risk aversion of green markets from both static and dynamic perspectives. We find that risk aversion of green markets follows a non-monotonic random walk with high oscillations. More interestingly, the MCCC index dominates over green market risk aversion in the long-run channels of mean and volatility spillovers, playing a role of information transmitter. Such an information leadership is resilient against time being and turns more pronounced during the COVID-19 pandemic. Our findings unveil the timing of anomalies in risk aversion of the specific green markets, providing a tool through which investor behavior in those markets is monitored. Further, the results provide more insights for market regulators and policy makers as to the dynamic driving influences public concerns on climate change exert on risk preference of green investors, thereby enhancing their understanding of investor trading behavior in the green markets.