Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities,green bonds,and environment-related stocks |
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| Affiliation: | 1. ESCA School of Management, 7, Abou Youssef El Kindy Street, BD Moulay Youssef, Casablanca, Morocco;2. Department of Economics, European University Institute, Villa La Fonte, Via delle Fontanelle, 18, I-50014 Florence, Italy;3. Department of Acc. & Finance, Athens University of Economics and Business, 76 Patission Str., GR10434 Athens, Greece;1. School of Economics and Finance, Massey University, Auckland, New Zealand;2. Institute of Business Research, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam;3. Institute of Business Research and CFVG -University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam;1. Department of Economics & Finance, Durham University, Durham DH1 3LB, UK;2. Department of Economics, Faculty of Commerce, Zagazig University, Egypt;3. Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia;4. University of Sfax, Higher Institute of Business Administration, Tunisia;5. Department of Economics, Lahore College for Women University Lahore, Pakistan;6. Indian Institute of Management Bodh Gaya, Bodh Gaya, India |
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| Abstract: | We analyze the dynamic spillover impact of cryptocurrency environmental attention (ICEA) on three asset classes: commodities, green bonds (GBs), and environment-related stocks. Our wavelet-based analysis suggests that ICEA is sharply escalated after the first quarter of 2021. During this period of intense attention, only the soybean commodity and Solactive GB tend to move positively and negatively with ICEA, respectively. Accordingly, the clean energy, sustainability, and Environmental, Social, and Governance (ESG) stock indices are positively associated with ICEA during 2018–2019 at the medium frequency bands. In most periods and frequency domains, most commodities, GBs, and environment-related stocks are not strongly linked to ICEA. Moreover, Diebold and Yilmaz’s (2014) spillover estimations signify no strong spillover effect of ICEA on the asset classes considered in this study. These findings are further corroborated by the wavelet-based Granger causality analysis. Moreover, our quantile regression (QR) estimations suggest that most assets are adversely influenced by ICEA, depending on the market conditions. Our research conveys some novel and vital policy ramifications to both investors and policymakers. |
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| Keywords: | Cryptocurrency environmental attention (ICEA) index Spillovers Commodity markets Green bond markets Environment-related stocks |
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