Response of green bonds and sustainable equity markets to crisis regimes: a dynamic multifractal efficiency assessment

Antunes de Araujo, Fernando Henrique and Kojić, Milena and Mitić, Petar (2026) Response of green bonds and sustainable equity markets to crisis regimes: a dynamic multifractal efficiency assessment. Fractal and fractional, 10 (6). ISSN 2504-3110

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Abstract

This article examines whether the informational efficiency of green bonds and sustainability-oriented equity indices changes across crisis regimes. Methods: We analyze the S&P Green Bond Index and eight S&P sustainable equity indices from 16 February 2016 to 10 November 2025 using static and rolling-window multifractal detrended fluctuation analysis. Rolling inefficiency, defined as the absolute deviation of the singularity-spectrum peak from 0.5, is then modelled with crisis-regime indicators, asset effects, dependence-robust inference, and window-level risk controls. Results: The S&P Green Bond Index remains among the most efficient and least volatile assets in the sample. Crisis-labelled windows display higher multifractal inefficiency than the pre-COVID benchmark, although the robustness checks show that part of the raw effect is transmitted through volatility and tail-risk conditions. Conclusions: Sustainable-finance efficiency is nonlinear and regime dependent, and the evidence is interpreted as a conditional association rather than causal identification. Green bonds are comparatively resilient, but not informationally invariant during systemic, geopolitical, and policy-driven stress.

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