Assessing returns and volatility spillovers between green bonds, commodities and stock markets during crisis times

This paper aims to investigate the time-varying return and volatility spillovers across a varied set of assets, including commodities, equity and green bonds' indices. In order to investigate the spillover effects, the study employs the Diebold & Yılmaz (2014) spillover index and the TVP-VAR model. Empirical results reveal heterogeneous roles across markets. While precious metals transmit a considerable portion of shocks to other assets, agricultural commodities appear as net receivers, highlighting their relatively passive role in the connectedness network. Furthermore, green bonds shifted from being a net absorber to a net transmitter of shocks during the Russo-Ukrainian conflict, reflecting its transition from a safe-haven asset to a driver of market uncertainty. These findings highlight the important role of green bond markets, which exhibited a notable dichotomy as both givers and receivers of return and volatility spillovers during crises. This role reversal implies that green bonds may no longer serve purely as diversification tools but can actively drive market volatility, warranting closer monitoring by regulators.