A quantile-time-frequency connectedness investigation through the dirty and clean cryptocurrencies spillover

Abstract

We analyze how the return connectedness between cryptocurrencies and environmental market indexes evolves in the last decade. The current study is the first to examine whether clean and dirty cryptocurrencies are linked to the U.S. environmental stock market indexes across time-frequency-quantile space. Using a time-frequency quantile connectedness approach, the main results are as follows: (i) the dynamic total connectedness indices are found to be heterogenous over the time-frequency space. (ii) Ethereum appears to be both short- and long-run net transmitters of shocks, while both U.S. environmental market indexes seem rather be both short- and long-run net receivers of shocks. Regarding Bitcoin, Cardano, and Ripple series, the net transmission/reception of short-term/long-term shocks is found to be time-varying. (iii) The majority of relationships among markets are time-varying in both short- and long-run net transmission positions. (iv) Over time-frequency quantile space, both short- and long-term dynamic total connectedness are found to be asymmetric, while the overall dynamic total connectedness seems to be symmetric. (v) The sensitivity of investors to clean and dirty cryptocurrencies-, and environmental market indexes-related shock spillovers tend to change over the quantile-time-frequency space. (vi) Important implications for investors and policymakers are also provided.