Volatility spillover of green bond with renewable energy and crypto market

Mikesh Prasad Yadav, Asheesh Pandey, Farhad Taghizadeh-Hesary, Vandana Arya and Nandita Mishra

Renewable Energy, 2023, vol. 212, issue C, 928-939

Abstract: Sustainable development is currently one of the most significant goals of humankind. Sustainable growth requires reducing carbon emissions and maintaining a rise in global temperatures within acceptable limits. Renewable energy sources, such as wind, solar, water, biomass, wave energy, and green investments, are substitutes for fossil fuels that significantly reduce carbon emissions. This study examines the volatility spillover of green bonds with renewable energy and the crypto market using daily data from October 1, 2015, to February 24, 2022. The results reveal the presence of spillovers from green bonds to renewable energy and the cryptocurrency market in the long run. Additionally, the results of the B&K tests indicate that the spillover among all the considered series under examination is lower in the short run than in the medium and long run, furnishing more opportunities to diversify the portfolio in the short run. This study has several implications for investors, portfolio managers, and policymakers.

Keywords: Connectedness; Green bond; Renewable energy; Cryptocurrency; Investment (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0960148123006791
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:renene:v:212:y:2023:i:c:p:928-939

DOI: 10.1016/j.renene.2023.05.056

Access Statistics for this article

Renewable Energy is currently edited by Soteris A. Kalogirou and Paul Christodoulides

More articles in Renewable Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().