Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis

Rabeh Khalfaoui (), Salma Mefteh-Wali, Buhari Doğan () and Sudeshna Ghosh
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Rabeh Khalfaoui: ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Salma Mefteh-Wali: ESSCA - ESSCA – École supérieure des sciences commerciales d'Angers = ESSCA Business School
Sudeshna Ghosh: Post Graduate Department of Botany, Scottish Church College, Kolkata, West Bengal, India

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Abstract: We provide the first empirical study on the role of panic and stress related to the COVID-19 pandemic, including six uncertainties and the four most traded cryptocurrencies, on three green bond market volatilities. Based on daily data covering the period from January 1, 2020 to January 31, 2022, we combine Diebold and Yilmaz's (2012, 2014) time domain spillover approach and Ando et al.'s (2022) quantile regression framework to investigate the time-frequency spillover connectedness among markets and measure the direction and intensity of the net transmission effect under extreme negative and positive event conditions, and normal states. We further provide novel insights into the green finance literature by examining sensitivity to quantile analysis of the net transfer mechanism between green bonds, cryptocurrencies, and pandemic uncertainty. Regarding the network connectedness analysis, the results reveal strong net information spillover transmission among markets under the bearish market. In extremely negative event circumstances, the MSCI Euro green bond acts as the leading net shock receiver in the system, whereas COVID-19 fake news appears as the largest net shock contributor, followed by BTC. According to sensitivity to quantile analysis, the net dynamic shock transfer mechanism is time-varying and quantile-dependent. Overall, our work uncovers crucial implications for investors and policymakers.

Keywords: Green bond Cryptocurrency COVID-19 news-related indexes; network analysis Quantile regression Time-frequency connectedness (search for similar items in EconPapers)
Date: 2023-03
Note: View the original document on HAL open archive server: https://hal.science/hal-03998228v1
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Published in International Review of Financial Analysis, 2023, 86, pp.102496. ⟨10.1016/j.irfa.2023.102496⟩

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Journal Article: Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03998228

DOI: 10.1016/j.irfa.2023.102496

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