Green cryptocurrencies versus sustainable investments dynamics: Exploration of multifractal multiscale analysis, multifractal detrended cross-correlations and nonlinear Granger causality

Markus Vogl and Milena Kojić

Physica A: Statistical Mechanics and its Applications, 2024, vol. 653, issue C

Abstract: Within this study, we analyse green cryptocurrencies versus sustainable investments dynamics by calculating a multifractal multiscale analysis (MMA) with Hurst surfaces paired with powerlaw distributional coherence tests for each series. Next, we determine multifractal cross-correlations by applying a maximal overlap discrete wavelet transform (MODWT) based trend-filtered variation of a multifractal detrended cross-correlation analysis (MF-DCCA). Finally, to determine the strength and directionality of potential causations, we determine the results of a nonlinear Granger causality test. The results for the MMA state q-dependent unstable multifractality for each series. The coherence tests indicate that the series follow powerlaws or exponentially nested powerlaws and yield fat-tails in some cases. Moreover, we find strong scaling and multifractal cross-correlations between the cryptocurrencies and the sustainability series. Finally, the nonlinear Granger causality tests across four lags indicate a complex interplay between some of the selected cryptocurrencies and various indices. These results suggest the existence of potential predictive powers of these cryptocurrencies on the market indices.

Keywords: (Green) cryptocurrencies; Sustainable investments (ESG investments); Multifractal multiscale analysis (MMA); Multifractal detrended cross-correlation analysis (MF-DCCA); Nonlinear Granger causality test (search for similar items in EconPapers)
JEL-codes: C01 C02 C22 G1 Q5 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124005946

DOI: 10.1016/j.physa.2024.130085

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