Description:
This study examines the broader US green bond market, focusing the attention on its association with the US traditional equity markets for the period 2016-2021. We propose to use the S&P Green Bond Index and US Aggregate Bond Index, and the S&P 500 in order to build the connection between the three markets based on both univariate GARCH and multivariate VAR models. Our empirical findings show that the patterns of return and volatility behaviour of green bonds tend to have significant changes over years. The findings highlight the importance of the emergence and evolution of the promising green bonds market and thus provide useful policy implications for portfolio and risk management and asset pricing