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Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak

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  • Zeng, Hongjun
  • Huang, Qingcheng
  • Abedin, Mohammad Zoynul
  • Ahmed, Abdullahi D.
  • Lucey, Brian

Abstract

We investigate the return interdependence among green bonds, cryptocurrency indices and green energy-related metals. We apply time-varying parametric vector autoregression (TVP-VAR) conenctedness, wavelet coherence, Wavelet Quantile Correlation （WQC) and Quantile on Quantile (QQR) Connectedness Methods. Our empirical findings show that return connectedness has become even stronger after the outbreak of COVID-19, with both green bonds and cryptocurrency indices acting as net receivers of return spillovers. Surprisingly, Copper functioned as a net sender of return spillovers over the entire observation period. Findings revealed that the cryptocurrency index exhibited a consistent positive correlation with the green energy-related metals market at medium to short-term frequencies, whereas green bonds showed a negative correlation with metals market at short-term frequencies and a positive correlation at long-term frequencies.

Suggested Citation

  • Zeng, Hongjun & Huang, Qingcheng & Abedin, Mohammad Zoynul & Ahmed, Abdullahi D. & Lucey, Brian, 2025. "Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak," Research in International Business and Finance, Elsevier, vol. 73(PA).
    • Handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003404
    DOI: 10.1016/j.ribaf.2024.102547
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    Keywords

    Green Bond; Cryptocurrency; Green energy-related metals; Return Connectedness; Wavelet Coherence; Quantile;
    All these keywords.

    JEL classification:

    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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