The cryptocurrency environmental attention and green bond connectedness
Source of Publication
Environmental Science and Pollution Research
We study the dynamic connectedness between green bonds and the cryptocurrency environmental attention index (ICEA), using the TVP-VAR methodology. The spillovers increase with the level of environmental attention, suggesting cross-market activism by green investors. Denmark, the Euro area, Hong Kong, Australia, and the US are the source of spillovers, while Japan, the UK, and Switzerland are major recipients. The return spillovers exceed volatility spillovers and rise in strength during COVID-19 and the geopolitics-induced military hostilities in Ukraine. Several imperative implications of the findings are notable for policymakers, market participants, and practitioners.
Springer Science and Business Media LLC
Cryptocurrency environmental attention, Green bonds, ICEA, Spillover connectedness
Umar, Zaghum; Bossman, Ahmed; and Iqbal, Najaf, "The cryptocurrency environmental attention and green bond connectedness" (2023). All Works. 6118.
Indexed in Scopus