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This study investigates the time-varying interdependence relationships between green bonds and green equity returns in China before and during the COVID-19 period. The rolling-window Copula Quantile-on-Quantile regression method has been employed to capture the dynamic dependence structure of the asset returns. The empirical results are as follows: First, the green bond-green equity correlations have increased significantly during the COVID-19 pandemic era. Second, the heterogeneous dependencies across different quantiles show the time-varying information transmission mechanism between green financial markets depending on the market conditions. Specifically, the correlations have increased around median level given pandemic shocks and an opposite correlation movement can be found in extreme quantiles, supporting the ‘flight-to-quality’ effect.

Flight-to-quality or not? Evidence from China’s green bond and green equity markets during COVID-19 crisis