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Abstract
ABSTRACT Under a TVP-VAR framework, this study investigates not only the role of climate-transition stocks (CS) and green bonds (GB) in combating climate policy uncertainty and market volatility but also the association between CS and GB in the context of climate and market uncertainties. Findings reveal that both CS and GB are resistant to climate and market risks from a medium- to long-term perspective. However, from a short-term perspective, extreme market turmoil caused by the COVID-19 pandemic has weakened the ability of CS and GB to withstand market risks. Furthermore, risk spillovers between CS and GB are consistently positive and tend to be medium-lived, providing new evidence for co-movements between sustainable equity and bond markets.
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