Assessing the connectedness between cryptocurrency environment attention index and green cryptos, energy cryptos, and green financial assets

Abstract

Using the cross-quantile & wavelet quantile correlation methods, we investigate the connectedness between cryptocurrency environment attention index (ICEA) and green crypto, renewable energy crypto, and green conventional market. The interdependence of ICEA with the considered assets is weak, providing investors with new avenues for reducing systematic risk of their portfolios. The cross-quantile correlations intensity between ICEA and green conventional emerging markets is especially low. ICEA appears as a strong diversifier for the Cardano cryptocurrency and sustainability-conscious industries from the developed economies. The WQC indicates a low level of connectedness of the ICEA with the selected assets. The ICEA does not remain significantly connected with any of the asset. This study provides valuable implications for the investors, portfolio managers and policy markets for the portfolio diversification.