HETEROGENEOUS DETERMINANTS OF GREEN BOND YIELDS: EVIDENCE FROM QUANTILE REGRESSION

Siti Nurhidayah Mohd Roslen; Chua Mei Shan; Rafiatul Adlin Mohd Ruslan; Mary Pang

doi:10.51200/mjbe.v13i1.7367

Authors

Siti Nurhidayah Mohd Roslen UiTM Cawangan Selangor, Puncak Alam
Chua Mei Shan
Rafiatul Adlin
Mary Pang

DOI:

https://doi.org/10.51200/mjbe.v13i1.7367

Keywords:

green bond, bond yield, sustainable finance, sentiment, economic policy uncertainties

Abstract

This study contributes to the literature on sustainable finance by investigating the determinants of green bonds yield to maturity across different quantiles. Using monthly data spanning from June 2019 to December 2025, quantile regression is used to assess the effects of risk-free rate (rf), consumer sentiment index (CSI), and economic policy uncertainty (EPU) on green bond yield behavior. Findings reveal that the risk-free rate exerts significant positive influence on green bonds yield across all quantiles, highlighting its role as the benchmark for expected returns on riskier investments, including green bonds. CSI shows no significant effect at lower quantiles implying that sentiment plays a limited role in lower yield green bonds. However, sentiment effects are significant for higher yield bonds. These results underscore the dual nature of green bonds as a safe haven asset yet sensitive to risk during heightened uncertainty period.

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