The Dynamic Correlation and Volatility Spillover Among Green Bonds, Clean Energy Stock, and Fossil Fuel Market

This study examines the dynamic correlation and volatility spillover among the green bond, clean energy, and fossil fuel markets using daily data from 30 June 2014 to 18 October 2021. Using the Bayesian DCC-MGARCH model, we confirmed that the green bond has a weak negative correlation with the fossil fuel (WTI oil, Brent oil, natural gas, heating oil, and gasoline) and clean energy markets. Using the frequency connectedness methods, the result suggests that the green bond and clean energy are net volatility receivers from the WTI crude oil and heating oil for the short term, indicating that investors and policymakers need to pay attention to the WTI oil volatility spillover risk when promoting green bond and clean energy. The study also found that the correlation and volatility spillover from the WTI crude oil to green bond and clean energy is stronger than that of Brent oil. This implies that investors and policymakers need to consider the price movements of the WTI crude oil than the Brent oil when investing in the green bond market. Thus, this study can provide essential information for energy investors and policymakers to achieve sustainable investment