Purpose:　This　paper　aims　to　explore　the　interaction　between　investor　attention　and　green　security　markets,　including　green　bonds　and　stocks.　Design/methodology/approach:　This　study　takes　the　Baidu　index　of　“green　finance”　as　the　proxy　for　investor　attention　and　constructs　several　generalized　prediction　error　variance　decomposition　models　to　investigate　the　interdependence.　It　further　analyzes　the　dynamic　interaction　between　investor　attention　and　the　return　and　volatility　of　green　security　markets　using　the　rolling　time　window.　Findings:　The　empirical　analysis　and　robustness　test　results　reveal　that　the　spillovers　between　investor　attention　and　the　return　and　volatility　of　the　green　bond　market　are　relatively　stable.　In　contrast,　the　spillover　level　between　investor　attention　and　the　green　stock　market　displays　significant　time-varying　and　asymmetric　effects.　Moreover,　the　volatility　spillover　between　investor　attention　and　green　securities　is　vulnerable　to　major　financial　events,　while　the　return　spillover　is　extremely　sensitive　to　market　performance.　Originality/value:　The　conclusion　further　expands　the　practical　application　and　theoretical　framework　of　behavioral　finance　in　green　finance　and　provides　a　new　reference　for　investors　and　regulators.　Besides,　this　study　also　lays　a　theoretical　basis　for　investors　to　focus　on　the　practical　application　of　volatility　prediction　and　risk　management　in　green　securities.　©　2021,　Emerald　Publishing　Limited.