The market performance of green bonds determines whether they will make a significant contribution to future financial markets and sustainable investment. It is therefore important to conduct a thorough study of the dominant factors affecting the market performance of green bonds, particularly their performance relative to conventional bonds. Thus, the main objective of this paper is to investigate and compare the impact of market volatilities (mainly VIX, OVX, and MOVE) and oil shocks (including supply shock, demand shock, and speculative demand shock) on the relative performance of green bonds. The main findings indicate that when volatilities coincide with oil shocks, the former consistently exert a more pronounced influence on the relative performance of green bonds. This phenomenon is particularly evident in the post-COVID-19 period. Concerning crude oil shocks, oil supply and demand shocks have opposite effects on the relative performance of green bonds, with the supply shock having a negative impact and the demand shock having a positive impact. Furthermore, our analysis shows that volatilities and oil shocks tend to have significant effects on the relative performance of green bonds during periods of heightened market risk aversion, while their impact remains negligible in a stable market environment. The empirical results may provide novel insights and significant implications for the further development of the green bond market.

中文翻译：

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市场波动与石油冲击：哪一个主导绿色债券的相对表现？


绿色债券的市场表现决定了其能否对未来金融市场和可持续投资做出重大贡献。因此，深入研究影响绿色债券市场表现的主导因素，特别是其相对于传统债券的表现非常重要。因此，本文的主要目的是调查和比较市场波动（主要是VIX、OVX和MOVE）和石油冲击（包括供给冲击、需求冲击和投机需求冲击）对绿色债券相对表现的影响。主要研究结果表明，当波动与石油冲击同时发生时，前者始终对绿色债券的相对表现产生更显着的影响。这种现象在后 COVID-19 时期尤为明显。就原油冲击而言，石油供需冲击对绿色债券的相对表现产生相反的影响，供给冲击产生负面影响，需求冲击产生正面影响。此外，我们的分析表明，在市场避险情绪加剧期间，波动和石油冲击往往会对绿色债券的相对表现产生重大影响，而在稳定的市场环境中，其影响仍然可以忽略不计。实证结果可能为绿色债券市场的进一步发展提供新颖的见解和重大影响。