Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis
International Review of Economics & Finance, ISSN: 1059-0560, Vol: 87, Page: 99-109
2023
- 26Citations
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Most Recent News
New Sustainability Research Findings from Southwestern University of Finance and Economics Discussed (Heterogeneous Dependence Among Cryptocurrency, Green Bonds, and Sustainable Equity: New Insights From Granger-causality In Quantiles Analysis)
2023 AUG 01 (NewsRx) -- By a News Reporter-Staff News Editor at Economics Daily Report -- Investigators discuss new findings in Sustainability Research. According to
Article Description
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.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S1059056023001430; http://dx.doi.org/10.1016/j.iref.2023.04.027; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85153866698&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S1059056023001430; https://dx.doi.org/10.1016/j.iref.2023.04.027
Elsevier BV
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