Tail risk spillovers between green bonds and ASEAN-6 stock markets

Abstract

This study explores the asymmetric tail risk spillover effect from green bonds (S&P Green Bond Index) to the ASEAN-6 stock markets (Vietnam, Thailand, the Philippines, Indonesia, Malaysia, and Singapore) from 2018 to 2024. By doing so, the GARCH-CQR model proposed by Tian et al. (2022) is used to capture the spillover effects of downside and upside tail risks based on the CoVaR, ΔCoVaR methods, and asymmetric copula functions (Clayton, Joe, Gumbel, Galambos, and Hüsler-Reiss). The findings provide clear evidence of both downside and upside tail risk spillovers from green bonds to the stock markets in these economies. Furthermore, the spillover effect from green bonds varies significantly over time and co-moves with substantial differences among the ASEAN-6 stock markets.