The impacts of the COVID-19 pandemic on China's green bond market

Xing Yi; Caiquan Bai; Siyuan Lyu; Lu Dai

doi:10.1016/j.frl.2021.101948

The impacts of the COVID-19 pandemic on China's green bond market

Financ Res Lett. 2021 Oct:42:101948. doi: 10.1016/j.frl.2021.101948. Epub 2021 Jan 26.

Authors

Xing Yi¹, Caiquan Bai¹, Siyuan Lyu², Lu Dai³

Affiliations

¹ The Center for Economic Research, Shandong University, Ji'nan, Shandong 250100, PR China.
² Department of Economics, Stony Brook University, Stony Brook, NY 11794, USA.
³ School of Economics & Management, Nanchang University, Nanchang, Jiangxi 330031, PR China.

Abstract

The paper applies the event study method and econometric models to investigate the impacts of COVID-19 on China's green bond market for the first time. We find that (1) the COVID-19 pandemic has significant impacts on China's green bond market and increases the cumulative abnormal return (CAR) of the green bonds greatly. After the pandemic is relieved, the CAR drops significantly; (2) the improving of bond issuers' governance capacity, the weakening of information asymmetry and the reinforcing of debt-paying ability can effectively mitigate the negative impacts and positively promote the recovery of bond issuers after the pandemic; (3) the impacts of bond issuers' governance capacity, information asymmetry and debt-paying ability on the CAR of green bonds are significantly heterogeneous before and after the pandemic due to their property rights and whether they are listed or not.

Keywords: COVID-19; Event study method; Green bonds; Mitigative effect.