College of Business, Zayed University, Abu Dhabi, United Arab Emirates.
Department of Financial Mathematics, Gachon university, Seongnam, Republic of Korea.
PLoS One. 2023 Aug 3;18(8):e0288377. doi: 10.1371/journal.pone.0288377. eCollection 2023.
Are green investments decoupled from the dirty investment such as the fossil fuel markets? We address this issue by extending the literature on environmental, social, and governance (ESG) assets by examining the dynamic relationship between fossil fuels and digital ESG assets proxied by green cryptocurrencies using the TVP-VAR(Time-varying parameter vector auto regression) spillover framework. Furthermore, we analyze the hedging attributes of green cryptocurrencies and fossil fuels in a minimum connectedness framework. The main findings are as follows: First, green cryptocurrencies are the main shock transmitters in all asset systems. Second, the dynamic connectedness between green cryptocurrencies and fossil fuels increased during the COVID-19 and Russia-Ukraine conflicts. Third, green cryptocurrencies have shown considerable hedging effectiveness against the fossil fuels. Our study has important implications for investors, regulators, and policy makers, such as shifting to green cryptocurrencies, regulation of carbon footprint, and promoting eco-friendly assets.
绿色投资是否与化石燃料等“肮脏”投资脱钩？我们通过使用时变参数向量自回归（TVP-VAR）溢出框架，扩展环境、社会和治理（ESG）资产方面的文献，检验化石燃料与绿色加密货币（代表数字 ESG 资产）之间的动态关系，从而解决了这个问题。此外，我们在最小连通性框架中分析了绿色加密货币和化石燃料的套期保值属性。主要发现如下：首先，绿色加密货币是所有资产系统的主要冲击传递者。其次，在 COVID-19 和俄乌冲突期间，绿色加密货币和化石燃料之间的动态连通性增加。第三，绿色加密货币对化石燃料表现出相当大的对冲效果。我们的研究对投资者、监管机构和政策制定者具有重要意义，例如转向绿色加密货币、碳足迹监管以及促进环保资产。
