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

Year: 2025

Type: article

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.

Source: International Journal of Global Economics and Management

DOI: 10.62051/ijgem.v6n2.14

Authors: Lei Zhou, Jun Cui

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Climate action

Open Access status: diamond

OpenAlex ID: W4408948182

FWCI: 3.756

Cites: 14

Cited by: 4

Related to: 10