IDEAS home Printed from https://ideas.repec.org/a/eee/beexfi/v49y2026ics2214635026000134.html

Do global bond market sentiments transmit to green bonds? Evidence from a quantile connectedness framework

Author

Listed:
  • Chahal, Rishman Jot Kaur
  • Bidasaria, Hemant
  • Khan, Hera Asif
  • Ahmad, Wasim

Abstract

Bond market sentiment plays a crucial role in shaping global financial interconnectedness; however, little is known about how sentiment-driven transmission operates across different market conditions and its influence on green bond (GB) markets. Using sentiment indicators from six major economies and global GB returns from 2015 to 2023, we explore a quantile VAR connectedness framework to capture the spillover across normal, bearish, and bullish quantiles. We find asymmetric connectedness across quantiles, with GBs acting as net transmitters in normal and bearish markets and becoming net receivers in bullish phases. There is strong evidence of dominant spillover effects, with the USA and China acting as net transmitters of sentiment shocks, while Japan emerges as a net receiver. From hedging perspective, GBs help reduce the portfolio risk by 27.74 % compared to an unhedged portfolio. Overall, the findings are useful for fund managers looking to invest in global markets and utilise the opportunity of GBs in conjunction with conventional bond markets.

Suggested Citation

  • Chahal, Rishman Jot Kaur & Bidasaria, Hemant & Khan, Hera Asif & Ahmad, Wasim, 2026. "Do global bond market sentiments transmit to green bonds? Evidence from a quantile connectedness framework," Journal of Behavioral and Experimental Finance, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:beexfi:v:49:y:2026:i:c:s2214635026000134
    DOI: 10.1016/j.jbef.2026.101151
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S2214635026000134
    Download Restriction: no
    File URL: https://libkey.io/10.1016/j.jbef.2026.101151?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:beexfi:v:49:y:2026:i:c:s2214635026000134. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/journal-of-behavioral-and-experimental-finance .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.