Against the backdrop of the exponentially growing trend in green finance investments and the calls for green recovery in the post-COVID world, this study presents the time-frequency connectedness between green and conventional financial markets by using the spillover models of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Covering a sample period from January 01, 2008, to July 31, 2020, we aim to explore the dynamics of connectedness between conventional and green investments in fixed income, equity, and energy markets. Additionally, we determine the role of market-wide uncertainty in altering the connectedness structure by performing a subsample analysis for the ongoing COVID-19 pandemic crisis period. Our results show that competing energy investments are not connected, and there is only one-way spillovers from the conventional bonds in the fixed-income investments. Additionally, we observe a low (high) intergroup connectedness for conventional (green) investments. Moreover, the frequency-based analysis shows that connectedness between these competing markets is more pronounced during the short-run. The subsample analysis for the pandemic crisis period shows similar results except for the disconnection between bond markets in the short-run frequency. Our time-varying analysis shows peaks and troughs in the connectedness between climate-friendly and conventional investments that suggest different global events such as the Eurozone Debt Crisis and Shale Oil Revolution drives the association between alternate investments. Similarly, we observe an enhanced connectedness during the recent COVID-19 period, suggesting that financial stability would be a significant factor in determining the smooth transition to green investments.

在绿色金融投资呈指数增长趋势以及后新冠世界对绿色复苏的呼声背景下，本研究利用 Diebold 和 Yilmaz（2012）的溢出模型展示了绿色金融市场与传统金融市场之间的时频关联性。 ）以及 Baruník 和 Křehlík（2018）。我们的样本期为2008年1月1日至2020年7月31日，旨在探索固定收益、股票和能源市场中传统投资和绿色投资之间的关联动态。此外，我们通过对当前的 COVID-19 大流行危机期间进行子样本分析，确定了整个市场的不确定性在改变连通性结构中的作用。我们的研究结果表明，竞争性能源投资之间不存在关联，并且固定收益投资中的传统债券仅存在单向溢出。此外，我们观察到传统（绿色）投资的群体间联系度较低（较高）。此外，基于频率的分析表明，这些竞争市场之间的联系在短期内更加明显。大流行危机时期的子样本分析显示了类似的结果，除了债券市场之间在短期频率上脱节之外。我们随时间变化的分析显示，气候友好型投资与传统投资之间的关联性存在高峰和低谷，这表明欧元区债务危机和页岩油革命等不同的全球事件推动了另类投资之间的关联。同样，我们观察到最近的 COVID-19 期间连通性增强，这表明金融稳定将是决定向绿色投资平稳过渡的重要因素。