Network Connectedness of Environmental Attention—Green and Dirty Assets

Author First name, Last name, Institution

Zaghum Umar, Zayed University; University of Economics Ho Chi Minh CityFollow
Afsheen Abrar, National University of Modern Languages
Adam Zaremba, Montpellier Business School; Poznań University of Economics and Business
Tamara Teplova, National Research University Higher School of Economics
Xuan Vinh Vo, University of Economics Ho Chi Minh City

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

7-1-2022

Abstract

This pioneering study demonstrates the nexus between the cryptocurrency environmental attention index and the return and volatility of both green and dirty assets. We employ a dynamic connectedness approach to document these dirty bonds and equities as the main transmitter of return spillover, whereas dirty equities are the main transmitter of volatility spillover. Environmental attention appears to have a stronger impact on equities than on bonds. Our results have important implications for investment, hedging, and policymaking.

DOI Link

10.1016/j.frl.2022.103209

ISSN

1544-6131

Publisher

Elsevier BV

First Page

103209

Last Page

103209

Disciplines

Business

Keywords

Environmental attention, Dirty asset, Green asset, Connectedness, Spillover

Scopus ID

85135928522

Recommended Citation

Umar, Zaghum; Abrar, Afsheen; Zaremba, Adam; Teplova, Tamara; and Vo, Xuan Vinh, "Network Connectedness of Environmental Attention—Green and Dirty Assets" (2022). All Works. 5216.
https://zuscholars.zu.ac.ae/works/5216

Indexed in Scopus

yes

Open Access

no