Academic Journal of Business & Management, 2022, 4(16); doi: 10.25236/AJBM.2022.041614.
School of Economics, Huazhong University of Science and Technology, Wuhan, 430074, China
This paper uses the DCC-GARCH model to conduct a cross-sectional comparison study of the risk spillover effect between the green bond market, the traditional stock market and the low carbon industry stock market in China. The empirical results show that the risk spillover effect between the green bond market and the two stock markets is weak, while the risk spillover effect between the stock markets is the most significant; the risk spillover effect between the green bond market and the low carbon industry stock market is stronger than the dependence between it and the traditional stock market.
green bonds; stock market; DCC-GARCH modeling; risk spillover
Cheng Liu. A comparative study of risk spillover effects between China's green bond market and other equity markets. Academic Journal of Business & Management (2022) Vol. 4, Issue 16: 85-89. https://doi.org/10.25236/AJBM.2022.041614.
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