Dynamic connectedness of green bond with financial markets of European countries under OECD economies

Abstract This paper examines the dynamic connectedness between green bonds and OECD financial markets of European countries. The study is conducted on daily price selected stock from January 27, 2015, to August 4, 2021. Top ten countries namely Luxembourg, Switzerland, Norway, Denmark, Germany, Netherlands, Iceland, Austria, Sweden, Belgium are included within economies. uses Diebold Yilmaz Barunik & Krehlic tests examine economies in short, medium, long term. Result exhibits volatility across all frequency cycles. Brussel Stock Exchange Euronext Amsterdam identified as high-risk market. Evidence emerging this advocate inclusion these for shorter time periods only. Results expected have practical implications portfolio managers, investors, market regulators, suggesting incorporation investor efficient diversification risk.