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Exploring the asymmetric effects of cryptocurrency uncertainties on green and ESG markets: A temporal and quantile-based examination

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  • Irani, Farid
  • Isayev, Mugabil

Abstract

The main contribution of this study is to give the first comprehensive evaluation of how uncertainty about cryptocurrencies, broken down into pricing (UCRY) and policy (UCPY) measures, affects sustainable financial markets in both the distribution of market states and the time–frequency domain. We examine green bonds (GB), the S&P Global 1200 ESG Index (ESG), and the S&P 500 Green Global Index (SPG) using an innovative integration of nonparametric causality-in-quantiles, quantile-on-quantile regression, and wavelet coherence analysis. This integrated paradigm allows us to identify nonlinear, asymmetric, and time-dependent transmission processes that prior research has neglected. Our research shows that green bonds are always strong against uncertainty in cryptocurrencies, but ESG and SPG indices are more likely to be affected by shocks caused by changes in prices or policies. These weaknesses have been exacerbated by significant events, such as the 2017 bitcoin bubble, the COVID-19 pandemic in 2020, and China's ban on cryptocurrencies in 2021. Wavelet coherence analysis reveals that ESG and SPG exhibit a persistent correlation, which is attributed to specific events, confirming both short-term and long-term interdependence. The findings have significant implications for investors seeking robust and sustainable portfolios, as well as for regulators aiming to mitigate cross-market contagion risks.

Suggested Citation

  • Irani, Farid & Isayev, Mugabil, 2025. "Exploring the asymmetric effects of cryptocurrency uncertainties on green and ESG markets: A temporal and quantile-based examination," Innovation and Green Development, Elsevier, vol. 4(6).
    • Handle: RePEc:eee:ingrde:v:4:y:2025:i:6:s2949753125001109
    DOI: 10.1016/j.igd.2025.100313
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    Keywords

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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