Network connectedness of environmental attention-Green and dirty assets

【Author】 Umar, Zaghum; Abrar, Afsheen; Zaremba, Adam; Teplova, Tamara; Vo, Xuan Vinh

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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. Environ-mental attention appears to have a stronger impact on equities than on bonds. Our results have important implications for investment, hedging, and policymaking.

【Keywords】Environmental attention; Dirty asset; Green asset; Connectedness; Spillover

【发表时间】2022 DEC

【收录时间】2022-11-04

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币