COVID-19 quickly spread all over the world and dramatically affected the financial markets in almost everycountry. Its spread created havoc in the market, and investors fearing risk suffereda significant amount of financialloss in a very short time. This article aims to analyze the impact of COVID-19 on stock markets in the top six affected countries based on the total number of cases confirmed. In addition, it also analyzes the stock market volatility caused by the virus and the abnormal returns generated by the markets during the pandemic. We employevent study methodology in different sub-periods to examine the most volatile event periods with the daily rise in the Covid cases and subsequent returns generated by the markets during these sub-periodsin relation to the daily rise in the case. The increase in volatility and the presence of significant abnormal returns among the sample indices show the impact of COVID-19 on stock markets. The result reveals that Brazilian stock indices show the highest decline among the selected countries, with a fall of more than 50% during the pandemic, while Mexican indices show the lowest fall of around 30% during the same period.

The present study is a novel attempt to unravel the connectedness of the green bond with energy, crypto, and carbon markets using the S&P green bond index (RSPGB). We consider MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as proxies of the energy market and use bitcoin and the European energy exchange carbon index (REEX) for the cryptocurrency and carbon market. Employing the Diebold and Yilmaz (2012), Baruník and Krehlík (2018), and wavelet coherence econometric techniques, we find that the energy market (RMGS) has the highest connectedness derived from other asset classes, and bitcoin (RBTC) has the least connectedness. Concurrently, we find that the risk transmission is heterogeneous in different scales as the short period has less connectedness than the medium and long run. We conclude that the overall diversification opportunity among green bonds, energy stock, bitcoin, and the carbon market is more in the short-run than in the medium and long-run. In summary, our findings on the green bond market will provide investors, portfolio managers, and policymakers with critical insight into ensuring a sustainable financial market.

This paper examines the dynamic linkages of green bond with the energy and crypto market. The S&P green bond index (RSPGB) is used as a proxy for the green bond market; S&P global clean energy index and ISE global wind energy (RIGW) are used as proxies for the renewable energy market, and; Bitcoin and Ethereum (RETHER) are used as the proxies of the crypto market. The daily prices of these constituent series are collected using Bloomberg from October 3, 2016 to February 23, 2021. We undertake an empirical analysis through the application of three key tests, namely: dynamic conditional correlation (DCC), Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012. 10.1016/j.ijforecast.2011.02.006), Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018. 10.1093/jjfinec/nby001) model. The DCC reveals no dynamic linkages of volatility from the green bond to the energy and crypto market in the short run. Referring to Diebold and Yilmaz (2012), it dictates that the green bond (RSPGB) is a net receiver while the energy market (RIGW) and cryptocurrency (RETHER) are the largest and least contributors to the transmission of the volatility. Additionally, the Baruník and Křehlík (2018) model confirmed that the magnitude of the total spillover is high in more prolonged than shorter periods, suggesting reduced diversification opportunities. Overall, the present study exemplifies the significance of the green bond market as protection against risk.

This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price of green bonds and selected European stock markets from January 27, 2015, to August 4, 2021. Top ten European countries namely Luxembourg, Switzerland, Norway, Denmark, Germany, Netherlands, Iceland, Austria, Sweden, and Belgium are included within the OECD economies. The study uses Diebold and Yilmaz and Barunik & Krehlic tests to examine the connectedness between the economies and green bonds in short, medium, and long term. Result exhibits volatility across all frequency cycles. Brussel Stock Exchange and Euronext Amsterdam are identified as high-risk markets in the OECD European market. Evidence emerging from this study advocate the inclusion of green bonds in these financial markets for shorter time periods only. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, suggesting incorporation of green bonds in investor portfolio for efficient diversification of risk.