Research On The Linkage And Risk Spillover Effect Of Green Bond Market And Green Stock Market In China

Nowadays,the development concept of environmental protection and sustainable development is deeply rooted in the hearts of the people,and the development of green finance in my country is also on a relatively good environmental foundation.In order to achieve the goal of my country’s commitment to the international community to peak carbon emissions by 2030,experts estimate that 3 to 4 trillion yuan will be needed to invest in green industries every year.Among them,most of the funds will come from social capital,and it is not enough to rely on government investment alone.Therefore,a large amount of social capital needs to be encouraged and mobilized to invest in green industries.Therefore,based on the background of the rapid development of green finance,this article puts forward relevant policy recommendations to promote the development of green finance in my country by studying the linkage and risk spillover effects of the green bond market and the green stock market.This article first introduces the research background of the thesis,and then briefly introduces the research ideas and innovations.Then use the literature review method to conduct research on related literature and study the correlation between the green bond market and the green stock market,The sample data selected data from ChinaBond-China Green Bond Index and Shanghai Environmental Protection Industry Index from January 4,2016 to December 31,2019.Through the analysis of the two indexes corresponding to the green bond market and the green stock market,the DCC-GARCH model is constructed to find the dynamic condition correlation coefficient between the two markets,and then to study the linkage relationship between the two markets.The ΔCoVaR is calculated based on the GARCH model,and then the risk spillover effect between the two markets is studied.When exploring the linkage relationship,select the relevant indicators such as interest rate,exchange rate,M2,and establish the SVAR model with the correlation coefficient of the linkage dynamic condition,and study the influencing factors of the linkage relationshipThe final conclusions of this article are as follows:First,in external shocks,the green stock market’s yield fluctuation is less than the green bond market,but the green stock market’s early yield fluctuations have a greater impact on the market’s later stage yields than the green bond market.And the volatility trend of the green stock market’s rate of return is maintained longer than the green bond market.Second,the linkage between the green bond market and the green stock market is significant,and the range of volatility is generally limited to a relatively small range,and the overall rate of return between the two markets is negatively correlated.Third,there is a two-way risk spillover effect between our country’s green bond market and green stock market,and both have negative risk spillover effects.The risk spillover effect of the green stock market on the green bond market is stronger than that of the green bond market on the green stock market.Fourth,in studying the influencing factors of the linkage relationship between our country’s green bond market and green stock market,it is found that the linkage between the two markets is most affected by their previous linkage.Interest rate,exchange rate and M2 all have an impact on the linkage between the two markets,of which the exchange rate change has the largest impact,the change in interest rate and M2 is relatively small,and the level of exchange rate impact on the linkage is approximately equal to their joint effect of linkage.