<p>In this study, machine learning-based VAR and VARX connectedness methods are employed to investigate the intricate spillover relationships between the Chinese green bond market and related financial markets (including high-carbon emission stock markets, crude oil future markets, and some traditional safe-haven assets) and to discuss how geopolitical risk impacts these spillover relationships. This study derives interesting empirical results by comparing the differences in the connectedness indicators obtained from these two research methods. First, the findings indicate that nonstock financial markets act primarily as net receivers of systemic risks, whereas the net transmitters of such risks are concentrated mainly in stock markets. Second, the green bond market acted as a net receiver of systemic risks during the rapid spread stage of COVID-19 worldwide, but as the pandemic eased, it became a net transmitter. Third, we observe the net information spillover directions from stock markets to the green bond market and from the green bond market to other nonstock financial markets. Fourth, geopolitical risk can amplify spillover effects, especially short-term spillover effects, between the green bond market and stock markets, where the unidirectional spillover from stock markets to the green bond market is more strongly affected. However, this influence is concentrated mainly in the rapid spread phases of COVID-19. Fifth, geopolitical risk minimally impact the spillover effects between the green bond market and other nonstock financial markets. Finally, high levels of geopolitical risk and geopolitical risk in developed countries have a stronger impact on spillover intensity.</p>