Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak

Hongjun Zeng, Qingcheng Huang, Mohammad Zoynul Abedin, Abdullahi D. Ahmed and Brian Lucey

Research in International Business and Finance, 2025, vol. 73, issue PA

Abstract: We investigate the return interdependence among green bonds, cryptocurrency indices and green energy-related metals. We apply time-varying parametric vector autoregression (TVP-VAR) conenctedness, wavelet coherence, Wavelet Quantile Correlation （WQC) and Quantile on Quantile (QQR) Connectedness Methods. Our empirical findings show that return connectedness has become even stronger after the outbreak of COVID-19, with both green bonds and cryptocurrency indices acting as net receivers of return spillovers. Surprisingly, Copper functioned as a net sender of return spillovers over the entire observation period. Findings revealed that the cryptocurrency index exhibited a consistent positive correlation with the green energy-related metals market at medium to short-term frequencies, whereas green bonds showed a negative correlation with metals market at short-term frequencies and a positive correlation at long-term frequencies.

Keywords: Green Bond; Cryptocurrency; Green energy-related metals; Return Connectedness; Wavelet Coherence; Quantile (search for similar items in EconPapers)
JEL-codes: G10 Q01 Q42 Q56 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003404

DOI: 10.1016/j.ribaf.2024.102547

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