An Index of Cryptocurrency Environmental Attention (ICEA)

Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods

“…Moreover, growing energy consumption caused by cryptocurrency mining and its related emission issues have raised emerging environmental concerns about the cryptocurrency. We therefore further incorporate the Cryptocurrency Environmental Attention Index (ICEA) proposed by Lucey et al (2021a) that measures the extent of environmental sustainability concerns on the cryptocurrency trading by the public. This enables us to determine how the linkages vary under different attention levels for cryptocurrency environmental issues.…”

“…For instance, Symitsi and Chalvatzis (2018) show that there exists unidirectional return and volatility interactions between Bitcoin and green financial assets represented by stock indices of energy and technology firms, while shock interactions are found to be bi-directional. As for the potential investment shelter role for green financial assets against adverse market fluctuations of cryptocurrencies, consensus has yet to be reached in existing empirical analyses (e.g., Naeem and Karim, 2021;Lucey et al, 2021a). For example, Naeem and Karim (2021) point out that green financial assets such as clean energy indices act as hedges for Bitcoin.…”