Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis

【Author】 Lee, Chi-Chuan; Yu, Chin-Hsien; Zhang, Jian

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】With the rapid development of cryptocurrencies and the increasing importance of environmen-tally friendly investments, their environmental impacts have become a new research area in financial economics. Thus, this study examines the heterogeneous causal relationships among cryptocurrencies, green bonds, and sustainable equities from July 31, 2014, to August 11, 2022. The use of Granger-causality in quantiles analysis allows us to assess causality in each quartile and provides insights into how the three investment instruments interact under different market conditions. The results reveal the existence of strong tail dependence between green bonds, sustainable equities, and cryptocurrency, indicating two-way Granger-causality among them.

【Keywords】Cryptocurrency; Green bond; Sustainable equity; Granger -causality

【发表时间】2023 SEP

【收录时间】2023-06-22

【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