Green Bond Returns and the Dynamics of Green and Traditional Financial Markets: A Thick Pen Analysis
使用厚笔关联度量方法，分析了绿色债券市场与绿色及传统金融市场在不同时间尺度上的联动关系，发现绿色债券收益与基准债券高度相关，但与股票市场关联较弱，具有分散化潜力。
ABSTRACT This paper analyses the relationship between green bond markets and both green and traditional financial markets using the Thick Pen Measure of Association, a visually interpretable tool for analysing co‐movement across different time scales. It finds, first, that the relationships between these markets shift over time, with a strong influence of events like COVID‐19 and the Ukraine war. Second, green bond returns closely track benchmark bonds but show weaker, sometimes declining, links to stocks, which underscores their diversification potential. Short‐term green bond moves, however, remain tied to the stock market's long‐term environment, especially in times of stress.