The paper proposes a full comprehensive analysis of green bond diversification benefits, their co-movement with multiple market indices, and the corresponding implications for portfolio allocation. Based on a time frame of seven years, divided into four sub-periods, the co-movements of green-bond indices, i.e. Solactive Green Bond Index and Bloomberg Barclays MSCI Green Bond Index, and the stock/bond market have been described, shedding light on the connections with sectors most affected by the Covid-19 pandemic. The Solactive Green Bond Index is found to provide the greater diversification benefit of the two green-bond indices, on average during the seven years and also during the pandemic. Allocation strategies and risk performances have also been analyzed to assess the impact of green-bond indices on otherwise traditional portfolios; their diversification power is discussed by use of traditional measures and an additional behavioral approach, drawing attention to its evolution in time and its consistency in terms of diminished risks and increased returns. Portfolios constructed with the inclusion of green bonds prove preferable in terms of risk, in all periods and for all strategies, while the superiority of returns depends on the allocation strategy.

本文提出了对绿色债券多元化收益、它们与多个市场指数的联动性以及对投资组合分配的相应影响的全面综合分析。基于七年的时间框架，分为四个子时期，绿色债券指数，即 Solactive Green Bond Index 和 Bloomberg Barclays MSCI Green Bond Index，以及股票/债券市场的联动已经被描述，脱落阐明与受 Covid-19 大流行影响最严重的部门之间的联系。与这两个绿色债券指数相比，Solactive Green Bond Index 被发现提供了更大的多元化收益，平均而言，在七年期间以及大流行期间也是如此。还分析了配置策略和风险绩效，以评估绿色债券指数对其他传统投资组合的影响；他们的多元化能力通过使用传统措施和额外的行为方法进行讨论，提请注意其随时间的演变及其在减少风险和增加回报方面的一致性。事实证明，在所有时期和所有策略中，包含绿色债券的投资组合在风险方面更可取，而回报的优越性取决于配置策略。