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Carbon prices and green bond markets: Global insights from quantile connectedness

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  • Bouteska, Ahmed
  • Harasheh, Murad
  • Marzo, Massimiliano

Abstract

Carbon pricing mechanisms and green bond markets are pivotal in addressing climate change and transitioning to sustainable finance. This study examines the interconnectedness between four global carbon price indices and the three largest green bond markets. We use daily data from July 2019 to April 2024, employing quantile-based connectedness analysis to investigate the return and volatility spillovers under normal, bullish, and bearish market conditions. The results reveal that carbon price indices act as net transmitters of shocks, whereas green bond markets are net receivers. Connectedness intensifies during extreme market movements, underscoring the influence of global events. These findings highlight the critical role of carbon prices and green bonds in navigating financial risks and opportunities within the sustainable finance ecosystem.

Suggested Citation

  • Bouteska, Ahmed & Harasheh, Murad & Marzo, Massimiliano, 2025. "Carbon prices and green bond markets: Global insights from quantile connectedness," Finance Research Letters, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:finlet:v:84:y:2025:i:c:s1544612325010104
    DOI: 10.1016/j.frl.2025.107752
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    References listed on IDEAS

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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