We analyze green and conventional bonds during regular market periods and within times of extreme volatility, the COVID-19 pandemic. We find a negative premium (greenium) of 1.6 bp before the outbreak of COVID-19, but during the times of extreme market stress, this greenium widens to 3.5 bp as our results show a significant outperformance of green bonds. The results indicate that green bonds are more resilient during risk-off periods than non-green bonds. In addition, the greenium effect is moderated by the issuer's country environmental performance as the greenium is more pronounced for issuers from non-green countries prior to COVID-19. We do not find differences between green and non-green countries since COVID-19.

我们分析正常市场时期和极度波动时期（即 COVID-19 大流行期间）的绿色债券和传统债券。在 COVID-19 爆发之前，我们发现负溢价（绿）为 1.6 个基点，但在市场极端压力时期，这一绿溢价扩大至 3.5 个基点，因为我们的结果显示绿色债券的表现显着优于其他债券。结果表明，绿色债券在风险规避期间比非绿色债券更具弹性。此外，绿色效应受到发行人所在国家/地区环境绩效的调节，因为在 COVID-19 之前，绿色效应对于来自非绿色国家的发行人更为明显。自 COVID-19 以来，我们没有发现绿色国家和非绿色国家之间存在差异。