Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis

Rabeh Khalfaoui, Salma Mefteh-Wali, Buhari Doğan () and Sudeshna Ghosh

International Review of Financial Analysis, 2023, vol. 86, issue C

Abstract: We provide the first empirical study on the role of panic and stress related to the COVID-19 pandemic, including six uncertainties and the four most traded cryptocurrencies, on three green bond market volatilities. Based on daily data covering the period from January 1, 2020 to January 31, 2022, we combine Diebold and Yilmaz's (2012, 2014) time domain spillover approach and Ando et al.'s (2022) quantile regression framework to investigate the time-frequency spillover connectedness among markets and measure the direction and intensity of the net transmission effect under extreme negative and positive event conditions, and normal states. We further provide novel insights into the green finance literature by examining sensitivity to quantile analysis of the net transfer mechanism between green bonds, cryptocurrencies, and pandemic uncertainty. Regarding the network connectedness analysis, the results reveal strong net information spillover transmission among markets under the bearish market. In extremely negative event circumstances, the MSCI Euro green bond acts as the leading net shock receiver in the system, whereas COVID-19 fake news appears as the largest net shock contributor, followed by BTC. According to sensitivity to quantile analysis, the net dynamic shock transfer mechanism is time-varying and quantile-dependent. Overall, our work uncovers crucial implications for investors and policymakers.

Keywords: Green bond; Cryptocurrency; COVID-19 news-related indexes, network analysis; Quantile regression; Time-frequency connectedness (search for similar items in EconPapers)
JEL-codes: C01 C22 C58 G01 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Working Paper: Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000121

DOI: 10.1016/j.irfa.2023.102496

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