Dynamic connectedness of green bond markets in China and America: A R2 decomposed Connectedness Approach

Dynamic connectedness of green bond markets in China and America: A R2 decomposed Connectedness Approach | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Dynamic connectedness of green bond markets in China and America: A R 2 decomposed Connectedness Approach Lei Zhou, Jun Cui This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-6258285/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract This study investigates the connectedness of two key green bond markets: the Shanghai Stock Exchange Green Bond Index (SSEGB) in China and the S&P U.S. Municipal Green Bond Index (SPMGB) in the United States. Using an R2 decomposed connectedness approach, we analyze the distinct dynamics between these indices. SSEGB demonstrates relative independence, driven by China's policy-oriented stability, making it attractive for long-term sustainable investments. In contrast, SPMGB exhibits heightened sensitivity to global shocks, offering short-term portfolio adjustment opportunities. These complementary roles underscore the critical importance of green bonds in promoting financial resilience and sustainability. The findings provide actionable insights for policymakers and investors, enhancing understanding of global green bond markets. Green bond Risk spillovers Contemporaneous connectedness Lagged connectedness Full Text Additional Declarations The authors declare no competing interests. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-6258285","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":430834928,"identity":"24ae09da-fe3b-4718-91ea-0943b2d271f0","order_by":0,"name":"Lei Zhou","email":"","orcid":"","institution":"solbridge international School of Business","correspondingAuthor":false,"prefix":"","firstName":"Lei","middleName":"","lastName":"Zhou","suffix":""},{"id":430835120,"identity":"3d58f9b0-b17b-4ffd-a643-5e488cc91ddb","order_by":1,"name":"Jun Cui","email":"data:image/png;base64,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","orcid":"https://orcid.org/0009-0002-9693-9145","institution":"solbridge international School of Business","correspondingAuthor":true,"prefix":"","firstName":"Jun","middleName":"","lastName":"Cui","suffix":""}],"badges":[],"createdAt":"2025-03-19 06:04:31","currentVersionCode":1,"declarations":{"humanSubjects":false,"vertebrateSubjects":true,"conflictsOfInterestStatement":false,"humanSubjectEthicalGuidelines":false,"humanSubjectConsent":false,"humanSubjectClinicalTrial":false,"humanSubjectCaseReport":false,"vertebrateSubjectEthicalGuidelines":true},"doi":"10.21203/rs.3.rs-6258285/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-6258285/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":79410872,"identity":"9f13ca65-e375-4638-9f23-7879eb34d9a4","added_by":"auto","created_at":"2025-03-28 06:00:08","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":376813,"visible":true,"origin":"","legend":"","description":"","filename":"DynamicConnectedPreprint.pdf","url":"https://assets-eu.researchsquare.com/files/rs-6258285/v1_covered_81b35b9f-f1b2-4535-8bda-b5c546adb369.pdf"}],"financialInterests":"The authors declare no competing interests.","formattedTitle":"\u003cp\u003eDynamic connectedness of green bond markets in China and America: A R\u003csup\u003e2\u003c/sup\u003e decomposed Connectedness Approach\u003c/p\u003e","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":true,"hideJournal":true,"highlight":"","institution":"Woosong University","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"Green bond, Risk spillovers, Contemporaneous connectedness, Lagged connectedness","lastPublishedDoi":"10.21203/rs.3.rs-6258285/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-6258285/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eThis study investigates the connectedness of two key green bond markets: the Shanghai Stock \u0026nbsp;Exchange Green Bond Index (SSEGB) in China and the S\u0026amp;P U.S. Municipal Green Bond Index \u0026nbsp;(SPMGB) in the United States. Using an R2 decomposed connectedness approach, we analyze the \u0026nbsp;distinct dynamics between these indices. SSEGB demonstrates relative independence, driven by \u0026nbsp;China's policy-oriented stability, making it attractive for long-term sustainable investments. In \u0026nbsp;contrast, SPMGB exhibits heightened sensitivity to global shocks, offering short-term portfolio \u0026nbsp;adjustment opportunities. These complementary roles underscore the critical importance of green \u0026nbsp;bonds in promoting financial resilience and sustainability. The findings provide actionable insights \u0026nbsp;for policymakers and investors, enhancing understanding of global green bond markets.\u003c/p\u003e","manuscriptTitle":"Dynamic connectedness of green bond markets in China and America: A R2 decomposed Connectedness Approach","msid":"","msnumber":"","nonDraftVersions":[{"code":1,"date":"2025-03-28 05:44:01","doi":"10.21203/rs.3.rs-6258285/v1","editorialEvents":[{"type":"communityComments","content":0}],"status":"published","journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true}}],"origin":"","ownerIdentity":"af0e4e86-58ab-4f21-9c6a-fcb3ca44c731","owner":[],"postedDate":"March 28th, 2025","published":true,"recentEditorialEvents":[],"rejectedJournal":[],"revision":"","amendment":"","status":"posted","subjectAreas":[],"tags":[],"updatedAt":"2025-03-28T05:44:01+00:00","versionOfRecord":[],"versionCreatedAt":"2025-03-28 05:44:01","video":"","vorDoi":"","vorDoiUrl":"","workflowStages":[]},"version":"v1","identity":"rs-6258285","journalConfig":"researchsquare"},"__N_SSP":true},"page":"/article/[identity]/[[...version]]","query":{"redirect":"/article/rs-6258285","identity":"rs-6258285","version":["v1"]},"buildId":"8U1c8b4HqxoKbykW_rLl7","isFallback":false,"isExperimentalCompile":false,"dynamicIds":[84888],"gssp":true,"scriptLoader":[]}