The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market

This study employs mainly the Bayesian DCC-MGARCH model and frequency connectedness methods to respectively examine dynamic correlation volatility spillover among green bond, clean energy, fossil fuel markets using daily data from 30 June 2014 18 October 2021. Three findings arose our results: First, bond market has a weak negative with (WTI oil, Brent natural gas, heating gasoline) energy markets, which means that bonds play critical hedging role against energy. Second, are net receivers WTI crude oil for short term, indicating investors policymakers need pay attention risk when promoting Third, is stronger than of implies consider price movements more investing in market. In summary, conclusion should be aware addresses two-pronged investment strategy (i) diversification (ii) carbon mitigation. Thus, this can provide essential information achieve sustainable investment.