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

Hongjun Zeng, Qingcheng Huang, Mohammad Abedin Orcid Logo, Abdullahi D. Ahmed, Brian Lucey

Research in International Business and Finance, Volume: 73, Start page: 102547

Swansea University Author: Mohammad Abedin Orcid Logo

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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...

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Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2025
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URI: https://cronfa.swan.ac.uk/Record/cronfa67510
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first_indexed 2024-09-02T10:24:23Z
last_indexed 2024-09-02T10:24:23Z
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spelling v2 67510 2024-09-02 Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2024-09-02 CBAE 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. Journal Article Research in International Business and Finance 73 102547 Elsevier BV 0275-5319 1878-3384 Green bond, cryptocurrency, green energy-related metals, return connectedness, wavelet coherence, quantile 1 1 2025 2025-01-01 10.1016/j.ribaf.2024.102547 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) 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). 2024-10-30T14:20:55.1153211 2024-09-02T11:08:58.7103378 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Hongjun Zeng 1 Qingcheng Huang 2 Mohammad Abedin 0000-0002-4688-0619 3 Abdullahi D. Ahmed 4 Brian Lucey 5 67510__31210__115c95a61dc94391a4508e227f70cc1e.pdf 67510.VoR.pdf 2024-09-02T11:20:31.4339467 Output 9943309 application/pdf Version of Record true © 2024 The Authors. This is an open access article under the CC BY license. true eng http://creativecommons.org/licenses/by/4.0/
title Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
spellingShingle Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
Mohammad Abedin
title_short Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
title_full Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
title_fullStr Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
title_full_unstemmed Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
title_sort Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Hongjun Zeng
Qingcheng Huang
Mohammad Abedin
Abdullahi D. Ahmed
Brian Lucey
format Journal article
container_title Research in International Business and Finance
container_volume 73
container_start_page 102547
publishDate 2025
institution Swansea University
issn 0275-5319
1878-3384
doi_str_mv 10.1016/j.ribaf.2024.102547
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2025-01-01T14:20:53Z
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score 11.035349

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