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Dependence and risk spillovers among clean cryptocurrencies prices and media environmental attention

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  • Ndubuisi, Gideon
  • Urom, Christian

Abstract

This paper examines the relationships among cryptocurrency environmental attention and clean cryptocurrencies prices using Time-Varying Parameter Vector Auto-Regression (TVP-VAR) and wavelets techniques. Results show strong connectedness among these variables, implying that the prices of clean cryptocurrencies are influenced by attention on cryptocurrency sustainability. Connectedness is stronger with positive shocks on environmental attention than negative shocks. Also, in the short-term, clean cryptocurrencies prices lead environmental attention, especially after 2021. However, there are notable periods when environmental attention led clean cryptocurrency prices before 2021. In the long-term, clean cryptocurrencies such as Hedera, Polygon, Cosmos, IOTA, TRON, Stellar, Tezos and Ripple lead environmental attention. In the presence of bitcoin, the degrees of connectedness increased across both shocks on cryptocurrency environmental attention. In all cases, the bitcoin market is the main destination of shocks from the system. We highlight some crucial implications of these results.

Suggested Citation

  • Ndubuisi, Gideon & Urom, Christian, 2023. "Dependence and risk spillovers among clean cryptocurrencies prices and media environmental attention," Research in International Business and Finance, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300079x
    DOI: 10.1016/j.ribaf.2023.101953
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    More about this item

    Keywords

    Clean cryptocurrency; Environmental sustainability; Cryptocurrency environmental attention; Risk spillovers; Wavelets coherence; Asymmetric connectedness;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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