Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bond markets significantly escalated during the COVID-19 outbreak. Furthermore, our results indicate a higher level of efficiency of the conventional bond market over the full sample period. However, the green bond market is more efficient during a black swan event, such as the COVID-19 global pandemic, showing the potential of green bonds to become an effective diversifier for investors in traditional assets in times of extreme market turmoil. The results of the study can have important implications for investors and policymakers.

由于缺乏对绿色债券价格效率动态的研究以及COVID-19对固定收益证券定价的影响，本研究调查了COVID-19之前和期间绿色债券市场与传统债券市场的比较效率大流行应用不对称多重分形分析。具体来说，使用非对称多重分形趋势波动分析（A-MF-DFA）方法，分别在债券市场的向上和向下趋势期间检查多重分形的缩放行为。实证结果证实了绿色和传统债券市场中存在不对称多重分形。毫不奇怪，在COVID-19爆发期间，两个债券市场的效率低下都大大加剧了。此外，我们的结果表明，在整个样本期内，常规债券市场的效率更高。但是，在黑天鹅事件（例如COVID-19全球大流行）期间，绿色债券市场的效率更高，这表明在极端市场动荡时期，绿色债券有可能成为传统资产投资者的有效分散者。研究结果可能对投资者和政策制定者产生重要影响。