Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks

Abstract

We analyze the dynamic spillover impact of cryptocurrency environmental attention (ICEA) on three asset classes: commodities, green bonds (GBs), and environment-related stocks. Our wavelet-based analysis suggests that ICEA is sharply escalated after the first quarter of 2021. During this period of intense attention, only the soybean commodity and Solactive GB tend to move positively and negatively with ICEA, respectively. Accordingly, the clean energy, sustainability, and Environmental, Social, and Governance (ESG) stock indices are positively associated with ICEA during 2018–2019 at the medium frequency bands. In most periods and frequency domains, most commodities, GBs, and environment-related stocks are not strongly linked to ICEA. Moreover, Diebold and Yilmaz’s (2014) spillover estimations signify no strong spillover effect of ICEA on the asset classes considered in this study. These findings are further corroborated by the wavelet-based Granger causality analysis. Moreover, our quantile regression (QR) estimations suggest that most assets are adversely influenced by ICEA, depending on the market conditions. Our research conveys some novel and vital policy ramifications to both investors and policymakers.