Network connectedness of environmental attention—Green and dirty assets

Zaghum Umar, Afsheen Abrar, Adam Zaremba, Tamara Teplova and Xuan Vinh Vo

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This pioneering study demonstrates the nexus between the cryptocurrency environmental attention index and the return and volatility of both green and dirty assets. We employ a dynamic connectedness approach to document these dirty bonds and equities as the main transmitter of return spillover, whereas dirty equities are the main transmitter of volatility spillover. Environmental attention appears to have a stronger impact on equities than on bonds. Our results have important implications for investment, hedging, and policymaking.

Keywords: Environmental attention; Dirty asset; Green asset; Connectedness; Spillover (search for similar items in EconPapers)
JEL-codes: C5 F3 G10 G12 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004147

DOI: 10.1016/j.frl.2022.103209

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