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

被引：16
|
作者：
Lee, Chi-Chuan [1 ]
Yu, Chin-Hsien [1 ]
Zhang, Jian [2 ,3 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Publ Adm, Chengdu, Peoples R China
[2] Southwestern Univ Finance & Econ, Sch Econ, Chengdu, Peoples R China
[3] Room 1105,Gezhi Bldg,555 Liutai Ave, Chengdu, Peoples R China
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2023年 / 87卷
关键词：
Cryptocurrency; Green bond; Sustainable equity; Granger; -causality;
D O I：
10.1016/j.iref.2023.04.027
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
With the rapid development of cryptocurrencies and the increasing importance of environmen-tally 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.
引用
收藏
页码：99 / 109
页数：11
相关论文
共 7 条
1