This study identifies the dynamics of sentiment contagion between individual and institutional investors in the context of green bond markets across China, Japan, the United States, and the European Union (EU), covering the period from 3 January 2022 to 31 December 2024. Applying a time-varying parameter vector autoregression model, we construct sentiment contagion indicators to capture the evolving interdependencies in the sentiment of the two investor groups. Subsequently, we investigate the impact of these contagion effects on the performance of domestic and cross-border green bond markets by applying exponential general autoregressive conditional heteroscedasticity and quantile-on-quantile regression techniques. Our empirical results reveal consistently high levels of sentiment contagion, with particularly pronounced effects observed in Japan and the EU. The findings underscore the crucial role of sentiment spillovers in shaping green bond markets' performance, although the magnitude and direction of these effects vary across countries and quantiles. Our research findings contribute to the growing literature on sustainable and behavioral finance. It also offers valuable policy implications and investment strategies to green bond regulators and investors across countries.
Citation: Thuy Duong Le, Ariful Hoque, Thi Le. Green bond market performance: Does investor sentiment contagion matter?[J]. Green Finance, 2026, 8(1): 142-185. doi: 10.3934/GF.2026006
This study identifies the dynamics of sentiment contagion between individual and institutional investors in the context of green bond markets across China, Japan, the United States, and the European Union (EU), covering the period from 3 January 2022 to 31 December 2024. Applying a time-varying parameter vector autoregression model, we construct sentiment contagion indicators to capture the evolving interdependencies in the sentiment of the two investor groups. Subsequently, we investigate the impact of these contagion effects on the performance of domestic and cross-border green bond markets by applying exponential general autoregressive conditional heteroscedasticity and quantile-on-quantile regression techniques. Our empirical results reveal consistently high levels of sentiment contagion, with particularly pronounced effects observed in Japan and the EU. The findings underscore the crucial role of sentiment spillovers in shaping green bond markets' performance, although the magnitude and direction of these effects vary across countries and quantiles. Our research findings contribute to the growing literature on sustainable and behavioral finance. It also offers valuable policy implications and investment strategies to green bond regulators and investors across countries.
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Thuy Duong Le, Ariful Hoque, Thi Le. Green bond market performance: Does investor sentiment contagion matter?[J]. Green Finance, 2026, 8(1): 142-185. doi: 10.3934/GF.2026006
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