Research On The Relationship Between The Volatility Spillover Effect And Dynamic Of Green Financial Stock Market And Bond Market

With the increasingly severe global environmental situation,governments and relevant transnational institutions have made great efforts to promote environmental friendliness.At present,green development is the general trend of social development.Under the macro background of supply side reform and economic transformation and upgrading,environmental issues have become the top priority of deepening reform and sustainable development in China.With the continuous improvement of China’s financial market,the new concept of green finance appears in response to this call.Green finance focuses on the promotion of ecological protection and pollution control in financial business activities.Its business includes green industry related stocks,green banks,green insurance,green bonds,etc.among the vast businesses of green finance,green credit financing accounts for the largest proportion all the time.However,green credit is mainly aimed at the loan issuance of the banking industry,and its relevance discussion is of little significance.In addition to basic green credit,the development of stock market and bond market of green finance related industries is particularly rapid,and their financing balance has occupied an important position in the composition of the total amount of green finance financing balance for many years.In this context,it is necessary to adopt econometric method to discuss the volatility spillover effect and dynamic correlation between green bond market and low-carbon industry stock market.The research results in this area can be used as a reference for asset investors to make investment decisions in green financial investment,help investors to clarify investment risks,judge investment direction,and reasonably allocate investment proportion,and also help relevant government departments to judge market risks,understand market wind direction,better control and formulate scientific policies for green financial related markets.This paper mainly analyzes the volatility spillover effect and dynamic correlation between green bond market and low-carbon industry stock market.By selecting the daily closing price series of China Green bond index and China mainland low carbon index from January 21,201 1 to January 4,2020 for wavelet de-noising,the logarithmic yield series is calculated;the emergence time of the green bond is tested and determined as the structural change point,according to which the samples are divided into two stages:before and after the change point;first,the BEKK-GARCH model is used to carry out the stage wave Then,DCC-GARCH model and Copula model are used to discuss the dynamic correlation of the two cities in different stages.The results show that the green bond index and the low-carbon index of the mainland have significant pre volatility and continue to affect the subsequent volatility before and after the emergence of the labeled green bonds,which has the characteristics of clustering.Before the appearance of labeled green bonds,the low-carbon industry stock market had one-way volatility spillover effect on the green bond market,but the significance was not high,the upper tail correlation was significantly stronger than the lower tail correlation,and the same trend was higher.After the appearance of labeled green bonds,the volatility spillover effect of low-carbon industry stock market on the green bond market is significantly enhanced,and the mean value of dynamic correlation coefficient changes from positive to negative,and the market is more closely linked.In the whole sample range,the volatility from the green bond market is not significant to the low-carbon industry stock market.