Quantile time-frequency spillovers among green bonds, cryptocurrencies, and conventional financial markets

Mingguo Zhao and Hail Park

International Review of Financial Analysis, 2024, vol. 93, issue C

Abstract: This paper adopts the quantile time-frequency connectedness approach to investigate the dynamic spillovers among green bonds, cryptocurrencies, and conventional financial markets at different frequencies and market conditions. The empirical results show that, firstly, total spillovers are primarily driven by short-term and exhibit a significant increase during periods of economic turmoil. Secondly, the green bond market acts as a net spillover transmitter in the short-term and exerts a powerful net spillover effect on conventional bond and currency markets. However, in the long-term, the green bond market becomes a net spillover receiver, absorbing relatively weaker shocks from other markets. Thirdly, the hedging ability of Bitcoin is time-varying, and an increase in short-term speculation weakens its hedging properties, making it unsuitable as a safe-haven asset. Fourthly, under extreme market conditions, the total spillovers are amplified and display a symmetrical pattern. In this context, the green bond market behaves as an asymmetric net spillover transmitter, while the hedging ability of Bitcoin is further diminished. Finally, the COVID-19 pandemic exacerbates spillovers across all market conditions, resulting in more pronounced long-term spillovers. These findings hold significant implications for investors seeking to optimize their portfolios and policymakers aiming to safeguard financial stability.

Keywords: Green bonds; Bitcoin; Financial markets; Return spillovers; Quantile time-frequency (search for similar items in EconPapers)
JEL-codes: C32 G10 G11 Q01 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521924001303
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001303

DOI: 10.1016/j.irfa.2024.103198

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().