Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution

Le, Thi Ngoc Lan; Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar

doi:10.1016/j.techfore.2020.120382

Cited by 266 publications

(153 citation statements)

References 81 publications

Supporting

Mentioning

120

Contrasting

Order By: Relevance

“…In each copula model, the GB-BIT pair has the highest dependence coefficient, followed by GB-BOND, GB-CI and GB-CEI, which supports the unconditional correlation. These results are in accordance with other studies, such as that of Nguyen et al (2020), and Le et al (2020), who provide evidence of a significant relationship between GBs and other asset classes. In addition, Hammoudeh et al (2020) indicated a significant relationship between the US 10-year bond and GB markets, starting from 2016 to 2019.…”

Section: Copula For Tail Dependencesupporting

confidence: 93%

See 1 more Smart Citation

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Hung

2021

Global Business Review

View full text Add to dashboard Cite

The green bond market has gradually developed worldwide since its debut in 2007 and is viewed as a new form of investment. This study explores the time-varying interdependence between green bond and conventional asset classes, namely Bitcoin price, Standard and Poor’s (S&P) 500, Clean Energy Index, Goldman Sachs Commodity Index (GSCI) Commodity Index and 10-year US bond spanning from May 2013 to December 2019, using both time-varying copula and transfer entropy models. We first focus on static and dynamic correlations between the green bond and other assets, and then identify the causal association among them. The findings suggest that green bonds and other assets have conditional time-varying dependence, and dependence is relatively low. Using transfer entropy, further evidence is gained for causal associations between two variables, which is depicted by two categories like mono-direction and bi-direction. Such nexus reveals the transmitter and receiver of return innovations on these markets. These findings make a considerable contribution to policymakers and environmentally friendly investors with green bond positions.

show abstract

Section: Copula For Tail Dependencesupporting

confidence: 93%

“…However, the GB market is weakly tied to the stock, energy and high-yield corporate bond markets. These findings were also confirmed by Nguyen et al (2020), and Le et al (2020).…”

Section: Literature Reviewsupporting

confidence: 63%

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Hung

2021

Global Business Review

View full text Add to dashboard Cite

show abstract

“…In contrast, a weak connectedness approved between green bonds and high yield corporate bond, stock, and energy assets. Recently, Le et al (2021) test the connectedness between green bonds, fintech, and cryptocurrencies utilizing daily basis data from November 2018 to June 2020. This study is very important as it covers the period of COVID-19.…”

Section: Literature Reviewmentioning

confidence: 99%

Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications

Naeem

Mbarki

Alharthi

et al. 2021

Front. Environ. Sci.

View full text Add to dashboard Cite

COVID-19 has morphed from a health crisis to an economic crisis that affected the global economy through several channels. This paper aims to study the impact of COVID-19 on the time-frequency connectedness between Green Bonds and other financial assets. Our sample includes the global stock market, bond market, oil, USD index, and two popular hedging alternatives, namely Gold and Bitcoin, from May 2013 to August 2020. First, we apply the methodologies of Diebold and Yilmaz (International Journal of Forecasting, 2012, 28(1), 57–66) and Baruník and Křehlík (Journal of Financial Econometrics, 2018, 16(2), 271–296). Then, we estimate hedge ratios and hedge effectiveness of green bonds for other financial assets. Green bonds are found to have a great weight in the overall network, particularly strongly connected with the USD index and bond index. While the bi-directional relationship with USD persists during COVID, the connectedness with conventional bonds is also strengthened. Notably, we find a weak relationship between Green bonds and Bitcoin, both in the short and long run. As portfolio implications, Gold and USD have the highest hedge ratio, which is confirmed by the hedging effectiveness. In contrast, oil and stocks exhibit the lowest hedging effectiveness. Our findings imply that financial assets might have a heterogeneous relationship with green bonds. Furthermore, despite its infancy, it seems that the role of green bond during a crisis should not be ignored, as it can be a hedger for some assets, while a contagion amplifier during crisis times.

show abstract

“…News based events shape equity market performance. According to Le et al (2021), news based uncertainty could affect the investor's consumption and portfolio decisions, which would lead to a change in the equity market prices. COVID-19 news badly affects the united stock market.…”

Section: Introductionmentioning

confidence: 99%

Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform

Siddique

Kayani

Ashfaq

2021

JRFM

View full text Add to dashboard Cite

The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020–3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger causality methods to obtain the dependence result. The continuous wavelet transform (CWT) analysis reveals that the United States equity market prices are extremely sensitive with regard to spreading coronavirus (USCOVID-19) news and changes in the oil price. Green bonds, gold, and bitcoin have minimal connectedness with the equity market, which might lead to the hedge and safe haven role of these assets during the COVID-19 crisis period. Lastly, very strong comovement was found between bitcoin and gold during the entire sample. The results of the present study offer a number of fresh and noticeable policy implications for international investors and asset managers.

show abstract

Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution

Cited by 266 publications

References 81 publications

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications

Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform

Contact Info

Product

Resources

About