The financial systems play a pivotal role in the efforts to mitigate climate change. A transition with more capital directed toward sustainable investments is needed to ensure long-term economic growth and financial stability. A transformation is needed to meet the set agendas of the Paris Agreement and the UN's 2030 17 Sustainable Development goals. The market of green bonds plays a crucial role in the transition into sustainable finance. With the fast-growing interest in green investments, the dynamics and behaviors of these markets become of interest. Previous research has indicated the existence of yield differences in the market of corporate and municipal bonds based on the green label. This study extends this research trend, looking into the distinct market of sovereign bonds. The yield difference between green and conventional sovereign bonds is examined for the time period 2016 to 2024. Using both bonds issued under the twin bond concept as well as a created matched paired sample, the research sheds light on the dynamics in the European sovereign bond markets. The results show an existing yield difference for the bonds issued under the twin bond concept with green bond yields being 2.68 bps lower on average compared to the conventional bonds. For the matched bond pairs, a yield difference is established; however, the direction of the spread is found to vary.