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Network connectedness of environmental attention—Green and dirty assets

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  • Umar, Zaghum
  • Abrar, Afsheen
  • Zaremba, Adam
  • Teplova, Tamara
  • Vo, Xuan Vinh

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.

Suggested Citation

  • Umar, Zaghum & Abrar, Afsheen & Zaremba, Adam & Teplova, Tamara & Vo, Xuan Vinh, 2022. "Network connectedness of environmental attention—Green and dirty assets," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004147
    DOI: 10.1016/j.frl.2022.103209
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Environmental attention; Dirty asset; Green asset; Connectedness; Spillover;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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