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Cryptocurrency Environmental Attention, Green Financial Assets, and Information Transmission - Evidence From the COVID-19 Pandemic

Author

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  • Inzamam Ul Haq

    (Knowledge Unit of Business Economics Accountancy and Commerce, University of Management and Technology, Pakistan)

Abstract

This paper explores the connectedness between the cryptocurrency environmental attention index and four major green financial assets using time-varying parameter vector autoregression model from January 2014 to December 2021. Findings reveal that connectedness follows a heterogeneous trajectory over time. Results show evidence of higher volatility transmission during the COVID-19 period relative to the entire sample period. The high volatility transmission is a source of concern to policymakers, green stakeholders, and investors, due to limited diversification options.

Suggested Citation

  • Inzamam Ul Haq, 2024. "Cryptocurrency Environmental Attention, Green Financial Assets, and Information Transmission - Evidence From the COVID-19 Pandemic," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(4), pages 1-7.
    • Handle: RePEc:ayb:jrnerl:91
    DOI: 2024/07/09
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cryptocurrency Environmental Attention Index; Sustainability Australia Index; TVP-VAR;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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