Dynamic Analysis of Risk Spillover Effects Among Green Bond Markets Among four Asian Countries
This paper uses VAR-GARCH-BEKK model and VAR model under the dynamic spillover effects of connectivity matrix method to analyze green bond market returns and volatility spillover effects in four Asian countries(China,Singapore,Korea and Japan).The conclusion shows that the dynamic spillover effects of yield and risk between green bond markets in four countries are very large and sensitive to international events(Russia-Ukraine conflict).The results show that,firstly,Singapore is the largest spillage country,while China is the only spillage country.Secondly,the spillover effect of green bond markets in the four countries significantly increased after the Russia-Ukraine conflict in 2022,finally,the total spillover effect of yield and volatility between green bond markets in the four countries reached 24.91%.
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