Table 2.

VAR-ADCC-GARCH analysis of climate bond and stock markets.

Variables $\downarrow$	Climate bond	S&P 500
$r_{t-1}^b$	0.1345 (.00)***	−0.0824 (.00)***
$r_{t-1}^s$	0.0081 (.00)***	- 0.0811 (.00)***
${\epsilon }_{b,t-1}^2$	0.1085 (.00)***	−0.0499 (.00)***
${\epsilon }_{s,t-1}^2$	0.0010 (.00)***	0.2850 (.00)***
$h_{t-1}^b$	0.6189 (.00)***	0.0525 (.00)***
$h_{t-1}^s$	−0.0006 (.00)***	0.7218 (.00)***
${\theta }_1$	0.1332 (.00)***
${\theta }_2$	0.7614 (.00)***
${\theta }_3$	0.0006 (.00)***
Log Likelihood	−397.61
ARCH-LM	0.62 (.81)

Notes: This table reports the outcomes for the VAR-ADCC-GARCH model for the bond-stock combination. $r_{t-1}^s$ refers to the return on the S&P 500 index at time t-1 and $r_{t-1}^b$ denotes the same for the climate bond market. In addition, $h_{t-1}^b$ measures the conditional variance of the bond price returns at time t-1 and $h_{t-1}^s$ indicates the conditional variance of stock market returns at time t-1. The squared error terms ${\epsilon }_{s,t-1}^2$ and ${\epsilon }_{b,t-1}^2$ measure the effects of unexpected news or shocks in stock and bond markets, respectively. ARCH-LM statistics are used to test the null hypothesis that the return series exhibit heteroscedasticity at lag 10. ***, ** and * indicate statistical significance at 1 %, 5 % and 10 % levels, respectively. Values in parentheses indicate p-values.