Which Factors Drive Green Bond Volatility : Uncertainty, Investor Attention or Both?

We examine the factors that drive the volatility of green bonds (GBs) using a modified generalized autoregressive conditional heteroskedasticity-mixed data sampling (G-M) model, concentrating on uncertainty and investor attention (IA). Economic policy uncertainty (EPU), adjusted EPU(GEPU), the Merrill Lynch Option Volatility Estimate (MOVE), geopolitical risk (GPR), and climate policy uncertainty (CPU) are proxies for uncertainty. Google (GSV) and Baidu Search Volume (BSV) are used to calculate IA. We find that uncertainty and IA contain complementary information and contribute to the volatility in Chinese and global GBs. Compared to utilizing one variable, using both uncertainty and IA increases the explanatory power