Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin

John W. Goodell, Shaen Corbet, Miklesh Prasad Yadav, Satish Kumar, Sudhi Sharma and Kunjana Malik
Authors registered in the RePEc Author Service: Satish Kumar and Satish Kumar

International Review of Financial Analysis, 2022, vol. 84, issue C

Abstract: Green investment funds continue to interest as a sustainable non-conventional asset class. We examine their interconnectedness, using network and wavelet analyses, with both traditional and non-traditional financial assets. Results indicate that global stock market performance, along with the returns of emerging markets, commodity markets, and FinTech are strongly correlated with green indices. However, in comparison, Bitcoin is found to be isolated, as confirmed by wavelet analyses. When considering the evolution of green investment indices, their role as diversifiers to Bitcoin is especially interesting, suggesting many potential benefits for investors and policymakers. Perhaps the most prominent application of our results is for Bitcoin investors to consider more closely investing in green funds as an offset to concerns about the negative environmental consequences of investing in proof-of-work cryptocurrencies.

Keywords: Green funds; Stocks; Cryptocurrencies; Diversification; Wavelets; Network analysis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003295

DOI: 10.1016/j.irfa.2022.102379

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