This study analyzes the dynamic connectedness between the ESG stock index, the renewable energy stock index, the green bond stock index, the sustainability stock index, and the carbon emission futures by employing a novel method: the DCC-GARCH-based dynamic connectedness approach. Given the strong volatility spillover among these indexes, we adopt the DCC-GARCH t-copula model to calculate these indexes' hedging ratios and portfolio weights. Our findings show that the carbon emission futures are the volatility transmitter, and the green bond is the volatility receiver. The total dynamic connectedness is affected by international political, economic, and other events. Furthermore, for stock market volatility investors, taking the long position in carbon emission futures and the short position in renewable energy stock can achieve the highest hedging effect.

本研究采用一种新颖的方法：基于 DCC-GARCH 的动态连通性方法，分析了 ESG 股票指数、可再生能源股票指数、绿色债券股票指数、可持续股票指数和碳排放期货之间的动态联系。鉴于这些指数之间的强烈波动溢出，我们采用 DCC-GARCH t-copula 模型来计算这些指数的对冲比率和投资组合权重。我们的研究结果表明，碳排放期货是波动率的传递者，绿色债券是波动率的接收者。总的动态连接受到国际政治、经济和其他事件的影响。此外，对于股市波动的投资者来说，