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Green cryptocurrencies versus sustainable investments dynamics: Exploration of multifractal multiscale analysis, multifractal detrended cross-correlations and nonlinear Granger causality

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  • Vogl, Markus
  • Kojić, Milena

Abstract

Within this study, we analyse green cryptocurrencies versus sustainable investments dynamics by calculating a multifractal multiscale analysis (MMA) with Hurst surfaces paired with powerlaw distributional coherence tests for each series. Next, we determine multifractal cross-correlations by applying a maximal overlap discrete wavelet transform (MODWT) based trend-filtered variation of a multifractal detrended cross-correlation analysis (MF-DCCA). Finally, to determine the strength and directionality of potential causations, we determine the results of a nonlinear Granger causality test. The results for the MMA state q-dependent unstable multifractality for each series. The coherence tests indicate that the series follow powerlaws or exponentially nested powerlaws and yield fat-tails in some cases. Moreover, we find strong scaling and multifractal cross-correlations between the cryptocurrencies and the sustainability series. Finally, the nonlinear Granger causality tests across four lags indicate a complex interplay between some of the selected cryptocurrencies and various indices. These results suggest the existence of potential predictive powers of these cryptocurrencies on the market indices.

Suggested Citation

  • Vogl, Markus & Kojić, Milena, 2024. "Green cryptocurrencies versus sustainable investments dynamics: Exploration of multifractal multiscale analysis, multifractal detrended cross-correlations and nonlinear Granger causality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 653(C).
    • Handle: RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124005946
    DOI: 10.1016/j.physa.2024.130085
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    Keywords

    (Green) cryptocurrencies; Sustainable investments (ESG investments); Multifractal multiscale analysis (MMA); Multifractal detrended cross-correlation analysis (MF-DCCA); Nonlinear Granger causality test;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

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