Эффективность зеленых облигаций на развивающихся рынках капиталаPerformance of green bonds in the emerging capital markets

This thesis examines the impact of internal and external factors on green bond performance in emerging capital markets under economic stability and macroeconomic shocks. Sustainable finance functions differently in developed and emerging economies due to distinct growth models and sustainability approaches, influencing green bond dynamics. These differences may drive divergent sustainable development trajectories, further intensified by economic instability. The research explores two key aspects of green bond performance: (i) yield spreads, shaped by corporate governance mechanisms and regulatory frameworks, and (ii) return volatility spillovers, driven by external market interactions, particularly with energy assets during economic uncertainty. The study applies quantitative methods, including correlation analysis, panel data models, time series analysis, Generalized Vector Autoregression (GVAR), and the Generalized Variance Decomposition (GVD) matrix. Two datasets were analyzed: 283 green bond issuances from 125 companies across 16 emerging markets (2017–2022) for corporate governance analysis and 197 issuances across 19 markets (2018–2023) for return spillover assessment. Results show corporate governance significantly affects yield spreads, offering new insights into emerging markets. Macroeconomic shocks amplify spillovers, though emerging market green bonds exhibit lower spillovers to energy markets than the global S&P Green Bond Index. Green bonds also serve as hedging instruments and, in Russia’s case, act as “safe havens” during instability, demonstrating potential for risk mitigation and portfolio diversification.