Network Connectedness of Environmental Attention—Green and Dirty Assets

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Authors
Umar, Zaghum
Abrar, Afsheen
Zaremba, Adam
Teplova, Tamara
Vo, Xuan Vinh
Date
2022
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
License
Creative Commons License
Creative Commons Attribution 4.0 International License
Abstract
This pioneering study demonstrates the nexus between the cryptocurrency environmental attention index and the return and volatility of both green and dirty assets. We employ a dynamic connectedness approach to document these dirty bonds and equities as the main transmitter of return spillover, whereas dirty equities are the main transmitter of volatility spillover. Environmental attention appears to have a stronger impact on equities than on bonds. Our results have important implications for investment, hedging, and policymaking.
Description
Keywords
environmental attention    dirty asset    green asset    connectedness    spillover
Citation
Umar, Z., Abrar, A., Zaremba, A., Teplova, T., & Vo, X. V. (2022). Network connectedness of environmental attention—Green and dirty assets. Finance Research Letters, 50, 103209. https://doi.org/10.1016/j.frl.2022.103209
URI
https://depot.ceon.pl/handle/123456789/22674
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Artykuły / Articles