Work

Cross-Quantile Dependence Between Green Bonds and Financial Markets: A Cross-Quantilogram Approach

Year: 2026

Type: article

Abstract: The opportunities in green investment have propelled the green bond market at a time when climate change has emerged as a critical issue. As more investors express a preference for environmentally responsible investments, the popularity of green bonds remains high. Such considerations motivate the exploration of the relationship between these instruments and different assets to better appreciate their potential benefits. This paper examines the relationship between green bonds and various financial markets, including conventional bonds, equities, oil, and clean energy stocks, using daily return data from July 2014 to October 2024. Hence, the cross-quantilogram approach is employed to explore how Economic Policy Uncertainty (EPU) and Financial Market Uncertainty (VIX) influence these dependence structures. The empirical results suggest a strong correlation between green bonds and conventional bonds. Moreover, green bonds can serve as a diversification tool for investors in stock, oil, and clean energy markets. The uncertainty measures do not provide any information that could affect the dependence structures among these markets.

Source: International Journal of Financial Studies

DOI: 10.3390/ijfs14080219

Authors: Haifa Talbi, Meriem Youssef, Christian de Peretti, Lotfi Belkacem

Institutions: Lyon 1 Université, Laboratoire de Sciences Actuarielle et Financière, University of Sousse, École Centrale de Lyon

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Climate action

Open Access status: gold

Estimated APC paid: $2,172