Analysis Of Time-varying Dynamic Correlation Effects Of Green Stocks And Green Bonds

With climate change and environmental problems becoming increasingly prominent,China's green finance has increasingly become an important link to support China's sustainable development.China's green finance system has accelerated innovation and system construction has steadily advanced.However,at present,countries,especially developing countries,are generally of attention is low.As the construction of China's green financial market continues to increase,and green investment products continue to enrich,the development of green stock market and green bond market plays an important role in the construction of green financial investment market.Research on the correlation effect between the two markets is of great significance to deepen our understanding of green finance.For investors,it is conducive to the rational allocation of assets and risk aversion;for the relevant government departments,it is conducive to the green Comprehensive understanding of the investment market environment to formulate and introduce reasonable policies.This paper mainly studies the correlation effect between China's green stock market and green bond market from the two aspects of mean return rate and volatility.First,the MI-TVP-SV-VAR is used to analyze the correlation effect of the yield between the green stock market and the green bond market in China.The study found that there is a positive correlation between the two market lags in the rate of return change on its own impact,but the influence of the two market on each other is time-varying and the direction is different.Secondly,this article uses the DCC-MIDAS model to conduct an empirical study on the short-term and long-term dynamic correlation between the green stock market and the green bond market.The trend is declining,followed by positive and negative,but the correlation is weak.This shows that asset allocation between green stocks and green bonds at this time is conducive to investors' asset allocation and risk management,and has certain guidance for policy formulation.At the same time,it is also necessary to introduce relevant policies to improve the mechanism of green bonds and green stock market and promote the development of green finance.