Green bonds and financial markets: Interdependence across different market situations.

This study examines the multifaceted return interdependence between green bonds and various assets and markets (conventional bonds, Islamic and conventional stocks, Bitcoin, Ethereum, crude oil, and gold), covering various market conditions. Daily data are from January 11, 2016 to February 12, 2024, and the methods employed include quantile-on-quantile return connectedness (QQC), cross-quantilogram (CQ), and Granger causality in quantiles (GC), which allow us to make inferences about the safe-haven ability of green bonds. The QQC results establish that the connectedness at directly related quantiles is more pronounced than those of inversely related quantiles for all cases.