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Using a TVP-VAR frequency connectedness approach, this study examines the return connectedness of green bonds with several major investment markets (e.g. index exchange-traded funds, oil, gold and currency) from the perspective of Chinese investors. The main results indicate that the connectedness of green bonds with other assets is relatively low and typically serves as a receiver in the network. However, during the epidemic period, the connectedness has obviously fluctuated, and green bonds briefly acted as a shock transmitter. This study also employs portfolio construction methods, and the portfolio analysis also demonstrates that green bonds can act as an efficient hedging tool. Our portfolio results can help market participants and policymakers better understand different Chinese financial markets and develop strategies to mitigate market risks.