Work

Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak

Year: 2024

Type: article

Abstract: We investigate the return interdependence among green bonds, cryptocurrency indices and green energy-related metals.We apply time-varying parametric vector autoregression (TVP-VAR) conenctedness, wavelet coherence, Wavelet Quantile Correlation (WQC) and Quantile on Quantile (QQR) Connectedness Methods.Our empirical findings show that return connectedness has become even stronger after the outbreak of COVID-19, with both green bonds and cryptocurrency indices acting as net receivers of return spillovers.Surprisingly, Copper functioned as a net sender of return spillovers over the entire observation period.Findings revealed that the cryptocurrency index exhibited a consistent positive correlation with the green energy-related metals market at medium to short-term frequencies, whereas green bonds showed a negative correlation with metals market at short-term frequencies and a positive correlation at long-term frequencies.

Source: Research in International Business and Finance

DOI: 10.1016/j.ribaf.2024.102547

Authors: Hongjun Zeng, Qingcheng Huang, Mohammad Zoynul Abedin, Abdullahi D. Ahmed, Brian Lucey

Institutions: RMIT University, Guangxi Minzu University, Swansea University, Trinity College Dublin

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Climate action

Open Access status: hybrid

Estimated APC paid: $3,370