Hajer Beyrem

Type of the article: Research Article

Abstract
The growing integration of global financial markets has sparked a greater interest in understanding the behavior of green financial assets, particularly in green equities and green bonds. This study aims to investigate the dynamic interconnections and volatility transmission between green equities (Clean Energy Index, Electric Vehicles Index, Global Water Index, and Renewable Clean Technology Index) and green bonds. The analysis covers the period from September 30, 2015, to October 1, 2025, including periods of both turbulence and stability. The study employs the DCC-GARCH model to capture the dynamic correlations, which is further enhanced by the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model to examine time-varying interconnections. The empirical results reveal that the strength and direction of connectedness are highly time-dependent, intensifying during periods of market turbulence and geopolitical uncertainty. The Energy Index acts as a significant net transmitter (+5.69%), indicating its substantial influence on other green asset classes. However, the green bond index appears to be a net receiver (–4.67%), endorsing its position as a safe-haven asset. These findings offer important implications for portfolio diversification and risk management in the green financial market, especially during periods of economic and financial stress. In addition, this study provides policymakers and investors with valuable insights to enhance their understanding of evolving sustainable financial markets.