What Drives Green Bond Returns and Valuation of the Safe-Assets Effect on Global, Russian and Chinese Markets?

Journal of Corporate Finance Research. 2026. Vol. 20. No. 1. P. 75–84.

Svetlana Grigorieva, Narmin Isaeva, Aliya Azizova, Leyla Bairamkulova

This paper identifies the determinants of green bonds on global markets, China and Russia and evaluates the hedging effect of these instruments. We contribute to the existing literature by (1) studying the emerging markets such as Russia and China, (2) providing comparative analysis of the impact of identical factors on green bond yields on global, Russian and Chinese markets and (3) implementing the methodology for time series analyses that involve studying several subperiods. Based on the sample of 2 167, 1 213 and 2 167 observations for global, Russian and Chinese markets in 2017-2022, respectively, we analyzed the impact of various factors on green bond returns using two empirical methods: analyses of long- and short-term linkages between variables based on the VECM model and construction of the GARCH model. The obtained results revealed that green bonds act like a hedging asset on global, Chinese and Russian markets, which proves that investors can use them to hedge their portfolios during economic crises, policy uncertainties and other market fluctuations. However, the hedging effect of green bonds differs in global, Russia and Chinese markets. In case of China, green bonds have a significant short-term hedging effect for all considered factors, while for the global green bonds the short-term hedging effect is present for all variables except the common stock market index. Russian green bonds can be used for hedging against gold and gas prices both in the short- and long-run. These results show investors how to manage their portfolios more effectively by using green bonds as a hedge asset.

Ключевые слова: «зеленые облигации», green bonds, safe assets, hedging financial markets, хеджирование финансовых рынков, безопасные активы