The impacts of the COVID-19 pandemic on China's green bond market.

ABSTRACT

The paper applies the event study method and econometric models to investigate the impacts of COVID-19 on China's green bond market for the first time. We find that (1) the COVID-19 pandemic has significant impacts on China's green bond market and increases the cumulative abnormal return (CAR) of the green bonds greatly. After the pandemic is relieved, the CAR drops significantly; (2) the improving of bond issuers' governance capacity, the weakening of information asymmetry and the reinforcing of debt-paying ability can effectively mitigate the negative impacts and positively promote the recovery of bond issuers after the pandemic; (3) the impacts of bond issuers' governance capacity, information asymmetry and debt-paying ability on the CAR of green bonds are significantly heterogeneous before and after the pandemic due to their property rights and whether they are listed or not.