Spillovers and connectedness between green bond and stock markets in bearish and bullish market scenarios

This study examines the quantile connectedness between eight green bonds and the S&P 500 index using the methodology of Ando et al. (2022). We show that green bonds and the S&P 500 index exhibit stronger connectedness during crises (GFC, COVID-19, etc.). Furthermore, green bonds are relatively less volatile during extraordinary events. The distribution tails dictate connectedness (short-term) in the wake of extreme events. The quantile spillover in the green financial markets largely originates from their energy and resource (water conservation) coun-terparts. These observations underscore the prevalence of upside, downside, and tail risks from green stock markets, particularly following crisis events.