Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin

【Author】 Goodell, John W.; Corbet, Shaen; Yadav, Miklesh Prasad; Kumar, Satish; Sharma, Sudhi; Malik, Kunjana

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】Green investment funds continue to interest as a sustainable non-conventional asset class. We examine their interconnectedness, using network and wavelet analyses, with both traditional and non-traditional financial assets. Results indicate that global stock market performance, along with the returns of emerging markets, commodity markets, and FinTech are strongly correlated with green indices. However, in comparison, Bitcoin is found to be isolated, as confirmed by wavelet analyses. When considering the evolution of green investment indices, their role as diversifiers to Bitcoin is especially interesting, suggesting many potential benefits for investors and policymakers. Perhaps the most prominent application of our results is for Bitcoin investors to consider more closely investing in green funds as an offset to concerns about the negative environmental consequences of investing in proof-of-work cryptocurrencies.

【Keywords】Green funds; Stocks; Cryptocurrencies; Diversification; Wavelets; Network analysis

【发表时间】2022 NOV

【收录时间】2022-11-16

【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