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

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  • Lee, Chi-Chuan
  • Yu, Chin-Hsien
  • Zhang, Jian

Abstract

With the rapid development of cryptocurrencies and the increasing importance of environmentally 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.

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  • Lee, Chi-Chuan & Yu, Chin-Hsien & Zhang, Jian, 2023. "Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 99-109.
    • Handle: RePEc:eee:reveco:v:87:y:2023:i:c:p:99-109
    DOI: 10.1016/j.iref.2023.04.027
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    Cited by:

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    2. Abdullah, Mohammad & Adeabah, David & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2023. "Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    Cryptocurrency; Green bond; Sustainable equity; Granger-causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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