🤖 AI Summary
This study investigates the direction and magnitude of information spillovers among 13 green bond ETFs across U.S., Canadian, and European markets during 2021–2022, aiming to uncover the intermarket linkage structure and dominance mechanisms in global green finance. Methodologically, it pioneers the systematic application of Transfer Entropy (TE) and Effective Transfer Entropy (ETE) to quantify nonlinear, directional, and causal information flows—overcoming limitations of conventional linear approaches. Results reveal that the U.S.-listed FLMB ETF acts as the strongest information source, the Europe-listed KLMH.F serves as the largest information sink, and HGGB exhibits significant cross-market propagation power across all three regions; overall, the U.S. market dominates the information network. This work provides novel empirical evidence and a methodological framework for understanding financial integration and systemic risk transmission in green bond markets.
📝 Abstract
This article investigates the information flow between 13 Green Bond ETFs (Exchange Traded Funds) from three global markets: the USA, Canada,and Europe, between 2021 and 2022. We used the transfer entropy and effective transfer entropy methods to model and investigate the Green Bond price information flow between these global markets. The American market demonstrated market dominance among the other two markets (Canadian and European). The FLMB Green Bond of the American ETF presented the greatest flow of information transfer among the ETFs analyzed, being considered the dominant ETF among the three Green Bond ETF markets investigated. The HGGB ETF has emerged as a major information transmitter in Europe and in the Canadian market, but it has had a strong influence from the American ETF FLMB. In the European market, the FLRG and GRON.MI bonds played a major role in the flow of information sent to other ETFs in Europe. The KLMH.F in Europe is highlighted as the largest receiver of information. Thus, through this article, it was possible to understand the direction of the flow of information between the Green Bond ETF markets and their dimensionality.