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Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
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Abdullahi D. Ahmed,
Brian Lucey
Research in International Business and Finance, Volume: 73, Start page: 102547
Swansea University Author:
Mohammad Abedin
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© 2024 The Authors. This is an open access article under the CC BY license.
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DOI (Published version): 10.1016/j.ribaf.2024.102547
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 Meth...
| Published in: | Research in International Business and Finance |
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| ISSN: | 0275-5319 1878-3384 |
| Published: |
Elsevier BV
2025
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa67510 |
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| 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. |
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| Keywords: |
Green bond, cryptocurrency, green energy-related metals, return connectedness, wavelet coherence, quantile |
| College: |
Faculty of Humanities and Social Sciences |
| Funders: |
This paper was supported by the Major Program of the National Social Science Foundation of China (Grant No. 23&ZD175), the National Natural Science Foundation of China (Grant Nos. 72173096, 72303139, 71873103). Hongjun Zeng acknowledges the support of RMIT Research Stipend Scholarships (RRSS-SC). |
| Start Page: |
102547 |