 Connectivity of green financial assets under geopolitical risks and market-implied volatilityUjkan Q. Bajra, Florin Aliu and Vlora Prenaj Finance Research Letters, 2025, vol. 76, issue C Abstract: This study examines the relationships between green bonds, ESG ETFs, and energy-efficient cryptocurrencies under Geopolitical Risk Index (GPR) and Volatility Index (VIX). Using the Time-Varying Parameter Vector Autoregressions (TVP-VARs) model with daily data from January 1, 2021, to November 1, 2024, the results show a dynamic relationship between green bonds, equity ETFs, and cryptocurrencies, forming a hybrid network influenced by market sentiment and risk factors. Cryptocurrencies exhibit strong intra-group correlations, reflecting a high correlation. The findings suggest that geopolitical risks mainly impact Green Bond ETFs, offering stability during periods of market volatility. Equities, particularly Global and ESG Equity ETFs, respond to geopolitical risks and volatility with varying sensitivities. Cryptocurrencies are more sensitive to the VIX, while some demonstrate moderate reactions to GPR. These results highlight the potential for diversification by combining traditional sustainable investments with digital assets in the evolving sustainable finance landscape. Keywords: Green bonds; ESG ETFs; Cryptocurrencies; Geopolitical Risk; Volatility Index; TVP-VAR; War (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325003010 DOI: 10.1016/j.frl.2025.107037 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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