This study investigates the influence of ESG cryptos in parallel with idiosyncratic volatility on Greek corporate green bond returns. While existing literature often examines the idiosyncratic volatility within traditional bond markets, our research focuses specifically on green bonds, an underexplored asset class. For the first time in relative literature, we analyze the effect of ESG crypto as well as with idiosyncratic volatility on green bond returns. To account for varying macroeconomic conditions, particularly the pronounced inflationary cycles in Greece, we apply Markov Switching Regression. Our findings reveal that the impact of ESG crypto and idiosyncratic volatility on Greek green bond returns is contingent on inflationary pressures. Furthermore, our model demonstrates that under inflationary regimes, increased ESG crypto valuation positively affects green corporate bond returns, while idiosyncratic volatility presents negative effect. Conversely, during non-inflationary periods, investors respond positively to idiosyncratic volatility while the effect of ESG crypto is non-significant. The proposed model effectively captures idiosyncratic volatility and ESG crypto valuation, offering a significant contribution to explaining the excess returns of green corporate bonds.

JEL classification: C11, G10, G11, Q50