Cryptocurrency Environmental Attention, Green Financial Assets, and Information Transmission - Evidence From the COVID-19 Pandemic

Inzamam Ul Haq ()
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Inzamam Ul Haq: Knowledge Unit of Business Economics Accountancy and Commerce, University of Management and Technology, Pakistan

Energy RESEARCH LETTERS, 2024, vol. 4, issue 4, 1-7

Abstract: This paper explores the connectedness between the cryptocurrency environmental attention index and four major green financial assets using time-varying parameter vector autoregression model from January 2014 to December 2021. Findings reveal that connectedness follows a heterogeneous trajectory over time. Results show evidence of higher volatility transmission during the COVID-19 period relative to the entire sample period. The high volatility transmission is a source of concern to policymakers, green stakeholders, and investors, due to limited diversification options.

Keywords: Cryptocurrency Environmental Attention Index; Sustainability Australia Index; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C22 D81 G15 (search for similar items in EconPapers)
Date: 2024
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