Dynamic Connectedness of Green Bond Markets in China and America: A R2 Decomposed Connectedness Approach

Lei Zhou; Jun Cui

doi:10.62051/ijgem.v6n2.14

Authors

Lei Zhou
Jun Cui

DOI:

https://doi.org/10.62051/ijgem.v6n2.14

Keywords:

Green bond, Risk spillovers, Contemporaneous connectedness, Lagged connectedness

Abstract

This study investigates the connectedness of two key green bond markets: the Shanghai Stock Exchange Green Bond Index (SSEGB) in China and the S&P U.S. Municipal Green Bond Index (SPMGB) in the United States. Using an R2 decomposed connectedness approach, we analyze the distinct dynamics between these indices. SSEGB demonstrates relative independence, driven by China's policy-oriented stability, making it attractive for long-term sustainable investments. In contrast, SPMGB exhibits heightened sensitivity to global shocks, offering short-term portfolio adjustment opportunities. These complementary roles underscore the critical importance of green bonds in promoting financial resilience and sustainability. The findings provide actionable insights for policymakers and investors, enhancing understanding of global green bond markets.

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