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Dynamic Spillovers Among Green Bond Markets: The Impact of Investor Sentiment

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  • Thuy Duong Le

    (Murdoch Business School, Murdoch University, 90 South St, Murdoch, WA 6150, Australia)

  • Ariful Hoque

    (Murdoch Business School, Murdoch University, 90 South St, Murdoch, WA 6150, Australia)

  • Thi Le

    (Murdoch Business School, Murdoch University, 90 South St, Murdoch, WA 6150, Australia)

Abstract

This research investigates the dynamic spillover effects among green bond markets and the impact of investor sentiment on these spillovers. We employ different research methods, including a time-varying parameter vector autoregression, an exponential general autoregressive conditional heteroscedasticity, and a generalized autoregressive conditional heteroskedasticity-mixed data sampling model. Our sample is for twelve international green bond markets from 3 January 2022 to 31 December 2024. Our results evidence the strong correlation between twelve green bond markets, with the United States and China being the net risk receivers and Sweden being the largest net shock transmitter. We also find the varied impact of direct and indirect investor sentiment on the net total directional spillovers. Our research offers fresh contributions to the existing literature in different ways. On the one hand, it adds to the green finance literature by clarifying the dynamic spillovers among leading international green bond markets. On the other hand, it extends behavioral finance research by including direct and indirect investor sentiment in the spillovers of domestic and foreign green bond markets. Our study is also significant to related stakeholders, including investors in their portfolio rebalancing and policymakers in stabilizing green bond markets.

Suggested Citation

  • Thuy Duong Le & Ariful Hoque & Thi Le, 2025. "Dynamic Spillovers Among Green Bond Markets: The Impact of Investor Sentiment," JRFM, MDPI, vol. 18(8), pages 1-34, August.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:8:p:444-:d:1720111
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    References listed on IDEAS

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