Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis

Chi-Chuan Lee, Chin-Hsien Yu and Jian Zhang

International Review of Economics & Finance, 2023, vol. 87, issue C, 99-109

Abstract: With the rapid development of cryptocurrencies and the increasing importance of environmentally friendly investments, their environmental impacts have become a new research area in financial economics. Thus, this study examines the heterogeneous causal relationships among cryptocurrencies, green bonds, and sustainable equities from July 31, 2014, to August 11, 2022. The use of Granger-causality in quantiles analysis allows us to assess causality in each quartile and provides insights into how the three investment instruments interact under different market conditions. The results reveal the existence of strong tail dependence between green bonds, sustainable equities, and cryptocurrency, indicating two-way Granger-causality among them.

Keywords: Cryptocurrency; Green bond; Sustainable equity; Granger-causality (search for similar items in EconPapers)
JEL-codes: C22 G11 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:87:y:2023:i:c:p:99-109

DOI: 10.1016/j.iref.2023.04.027

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