Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin

Goodell, John W.; Corbet, Shaen; Yadav, Miklesh Kumar; Kumar, Satish; Sharma, Sudhi; Malik, Kunjana

doi:10.1016/j.irfa.2022.102379

Cited by 36 publications

(11 citation statements)

References 71 publications

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“…They concluded that cryptocurrencies appear to have less integration with the overall technological system framework and are structurally less exposed to systemic risk, indicating that Bitcoin may offer diversification benefits for investors to hedge against technology sector risk. Additionally, in line with Umar et al (2021), the network analysis conducted by Goodell et al (2022) demonstrates a strong correlation between FINX and conventional asset classes and green equity indices, while BTC does not exhibit such a strong association. This suggests that Bitcoin can serve as a diversification vehicle.…”

Section: Quantile-var Approach: Connectedness Resultsmentioning

confidence: 56%

Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities

Ghaemi Asl,

Roubaud

2024

Financ Innov

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This study examines the nexus between the good and bad volatilities of three technological revolutions—financial technology (FinTech), the Internet of Things, and artificial intelligence and technology—as well as the two main conventional and Islamic cryptocurrency platforms, Bitcoin and Stellar, via three approaches: quantile cross-spectral coherence, quantile-VAR connectedness, and quantile-based non-linear causality-in-mean and variance analysis. The results are as follows: (1) under normal market conditions, in long-run horizons there is a significant positive cross-spectral relationship between FinTech's positive volatilities and Stellar’s negative volatilities; (2) Stellar’s negative and positive volatilities exhibit the highest net spillovers at the lower and upper tails, respectively; and (3) the quantile-based causality results indicate that Bitcoin’s good (bad) volatilities can lead to bad (good) volatilities in all three smart technologies operating between normal and bull market conditions. Moreover, the Bitcoin industry’s negative volatilities have a bilateral cause-and-effect relationship with FinTech’s positive volatilities. By analyzing the second moment, we found that Bitcoin's negative volatilities are the only cause variable that generates FinTech's good volatility in a unidirectional manner. As for Stellar, only bad volatilities have the potential to signal good volatilities for cutting-edge technologies in some middle quantiles, whereas good volatilities have no significant effect. Hence, the trade-off between Bitcoin and cutting-edge technologies, especially FinTech-related advancements, appear more broadly and randomly compared with the Stellar-innovative technologies nexus. The findings provide valuable insights for FinTech companies, blockchain developers, crypto-asset regulators, portfolio managers, and high-tech investors.

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Section: Quantile-var Approach: Connectedness Resultsmentioning

confidence: 56%

Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities

Ghaemi Asl,

Roubaud

2024

Financ Innov

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“…Notably, the hedging effectiveness and hedge ratios were lower for WEGSLI than for other green assets. Similarly, Goodell, Corbet [ 28 ] found that green economy and fintech indices have potential benefits for investors in terms of hedging digital currency’s (Bitcoin) risk and the environmental consequences of the cryptocurrency market. Koçak, Bulut [ 34 ] investigated the impact of COVID-19 cases, market volatility (VIX), economic policy uncertainty, oil prices and government response on the S&P 500 CEI using Fourier’s approach, finding a positive impact of COVID-19 and oil prices on low carbon company stocks.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Our study contributes to the literature in following ways. Using the Asymmetric Dynamic Conditional Correlations (ADCC)-Glosten, Jagannathan and Runkle (GJR-GARCH) in conjunction with wavelet coherence techniques to examine whether carbon efficient investment options stipulate hedge or safe-haven characteristics in the world thematic stock market during the COVID-19 crisis, we add to the literature that examines the hedge and safe-haven properties of several EGS and sustainable financial assets [25][26][27][28][29][30][31][32]. Our results encourage investors to consider carbon-efficient investments due to their strong (weak) hedging or safe-haven characteristics in the short run (long run) to counteract the intensity of economic shocks on thematic asset portfolios during both tranquil and tumultuous periods.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric and time-frequency co-movements among innovation-themed investments and carbon emission efficiency: Thematic investing and hedging opportunities

Huo,

Ferreira,

Ul Haq

2024

PLoS ONE

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This study is aimed at investigating the asymmetric and time-frequency co-movements and the hedge or safe-haven properties of carbon efficient indices, the MSCI ACWI Sustainable Impact, and MSCI World EGS indices, in relation to technology and innovation-themed investments. In doing so, the ADCC-GJR-GARCH and wavelet coherence techniques are applied to a daily return series ranging from January 2019 to January 2023. Findings of the ADCC-GJR-GARCH model show negative and insignificant asymmetric linkage among underlying indices during the sample period. The S&P 500 carbon efficient index (CEI) acts as a strong hedge or safe-haven for technology and innovation-themed indices during tranquil and tumultuous periods. The MSCI ACWI Sustainable Impact, MSCI World EGS, and carbon efficient indices except for S&P 500 CEI exhibit weak hedge or safe-haven attributes. Wavelet coherence reveals negative (positive) co-movements between the thematic and carbon efficient indices in short-term (medium-term and long-term) horizons with consistent leading behavior of thematic indices to carbon efficient indices outcomes. It justifies the presence of short-lived hedging or safe-haven characteristics in the thematic domain for investors. These strong and weak hedge or safe-haven characteristics of low carbon and sustainability indices reveal that adding low carbon efficient and sustainable investments to a portfolio result in considerable diversification benefits for investors who tend to take minimal risk in both tranquil and tumultuous periods. The current findings imply that financial institutions, thematic investing companies, and governments need to encourage carbon efficient technology transfer and innovation-themed investments by increasing the fund allocations in underlying asset classes. Policy-making and regulatory bodies can encourage investors to make carbon-efficient and thematic investments and companies to issue carbon-efficient stocks or investments to safeguard social and economic risks during fragile periods. These investments can offer greater opportunities to combat the intensity of economic shocks on portfolios for responsible or sustainable investors.

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“…In addition, Siemroth and Hornuf (2023) [83] found that investors prefer positive environmental impacts and drive corporate transformation by investing in green projects. As for the performance of green funds in international markets, Goodell et al (2022) [84] discovered that green funds are related to the development of financial technology. Ji et al (2021) [81] revealed that the green funds of BRICS have performed better than other types of funds.…”

Section: Plos Onementioning

confidence: 99%

Can green funds improve corporate environmental, social, and governance performance? Evidence from Chinese-listed companies

Wang,

Zhou,

Gan

2024

PLoS ONE

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Green funds play pivotal roles in driving corporate sustainable development. Utilizing data from Chinese publicly listed companies from 2010 to 2021, we examine the impact of green funds on corporate environmental, social, and governance (ESG) performance and the underlying mechanisms. The research findings claim that green funds positively affect corporate ESG performance. Mechanism analysis systematically demonstrates that green funds contribute to elevated corporate ESG performance by alleviating financial constraints, enhancing managerial efficiency, and fostering green innovation. Heterogeneity analysis further underscores that the effect of green funds is particularly potent in companies with high external attention. Furthermore, green funds also play significant roles in production capabilities and economic value. This research enriches the micro-level evidence on the development of green funds and furnishes substantial implications for sustainable development.

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Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin

Cited by 36 publications

References 71 publications

Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities

Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities

Asymmetric and time-frequency co-movements among innovation-themed investments and carbon emission efficiency: Thematic investing and hedging opportunities

Can green funds improve corporate environmental, social, and governance performance? Evidence from Chinese-listed companies

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