Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis
Green finance is becoming more and more important as a way to fund environmentally friendly initiatives and lower carbon emissions. Green bonds have emerged as a significant financing tool in this context, and it is critical to understand how they interact with other components of the finance ecosys...
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| Format: | Article |
| Language: | English |
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Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house
2024-06-01
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| Series: | Scientific Annals of Economics and Business |
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| Online Access: | https://saeb.feaa.uaic.ro/index.php/saeb/article/view/2381 |
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| _version_ | 1850187793150509056 |
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| author | Mau Ba Dang Nguyen |
| author_facet | Mau Ba Dang Nguyen |
| author_sort | Mau Ba Dang Nguyen |
| collection | DOAJ |
| description | Green finance is becoming more and more important as a way to fund environmentally friendly initiatives and lower carbon emissions. Green bonds have emerged as a significant financing tool in this context, and it is critical to understand how they interact with other components of the finance ecosystem, such as cryptocurrency and carbon markets, particularly during recent crises such as the COVID-19 outbreak and the Ukraine invasion. This study aims to empirically investigate the lead-lag associations between major cryptocurrency markets and green finance measured in terms of green bonds. For empirical estimation, the wavelet analysis and spectral Granger-causality test are employed to analyze the daily data, covering the period from 2018 to 2023. The results show that the correlation between the returns of the green bond market and cryptocurrencies is not stable over time, which rises from the short- to long-run horizon. However, the co-movements between these assets tend to be different and, in some cases, strong, especially during recent crises. Furthermore, the Granger causality test demonstrates the existence of a bi-directional causality between the prices of the cryptocurrencies and green bonds. These findings have significance for portfolio managers, investors, and researchers interested in investing strategies and portfolio allocation, suggesting that green markets may be used as a hedge and diversification tool for cryptocurrencies in the future. |
| format | Article |
| id | doaj-art-7bbf771cc4bb4b0cb68c07a0f045c1ce |
| institution | OA Journals |
| issn | 2501-3165 |
| language | English |
| publishDate | 2024-06-01 |
| publisher | Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house |
| record_format | Article |
| series | Scientific Annals of Economics and Business |
| spelling | doaj-art-7bbf771cc4bb4b0cb68c07a0f045c1ce2025-08-20T02:16:01ZengEditura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing houseScientific Annals of Economics and Business2501-31652024-06-0171215517210.47743/saeb-2024-00101412Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency AnalysisMau Ba Dang Nguyen0Faculty of Finance and Banking, University of Finance - Marketing, Ho Chi Minh CityGreen finance is becoming more and more important as a way to fund environmentally friendly initiatives and lower carbon emissions. Green bonds have emerged as a significant financing tool in this context, and it is critical to understand how they interact with other components of the finance ecosystem, such as cryptocurrency and carbon markets, particularly during recent crises such as the COVID-19 outbreak and the Ukraine invasion. This study aims to empirically investigate the lead-lag associations between major cryptocurrency markets and green finance measured in terms of green bonds. For empirical estimation, the wavelet analysis and spectral Granger-causality test are employed to analyze the daily data, covering the period from 2018 to 2023. The results show that the correlation between the returns of the green bond market and cryptocurrencies is not stable over time, which rises from the short- to long-run horizon. However, the co-movements between these assets tend to be different and, in some cases, strong, especially during recent crises. Furthermore, the Granger causality test demonstrates the existence of a bi-directional causality between the prices of the cryptocurrencies and green bonds. These findings have significance for portfolio managers, investors, and researchers interested in investing strategies and portfolio allocation, suggesting that green markets may be used as a hedge and diversification tool for cryptocurrencies in the future.https://saeb.feaa.uaic.ro/index.php/saeb/article/view/2381green bondscryptocurrencieswavelet analysiscausality. |
| spellingShingle | Mau Ba Dang Nguyen Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis Scientific Annals of Economics and Business green bonds cryptocurrencies wavelet analysis causality. |
| title | Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis |
| title_full | Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis |
| title_fullStr | Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis |
| title_full_unstemmed | Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis |
| title_short | Heterogeneous Dependence Between Green Finance and Cryptocurrency Markets: New Insights from Time-Frequency Analysis |
| title_sort | heterogeneous dependence between green finance and cryptocurrency markets new insights from time frequency analysis |
| topic | green bonds cryptocurrencies wavelet analysis causality. |
| url | https://saeb.feaa.uaic.ro/index.php/saeb/article/view/2381 |
| work_keys_str_mv | AT maubadangnguyen heterogeneousdependencebetweengreenfinanceandcryptocurrencymarketsnewinsightsfromtimefrequencyanalysis |