Original scientific paper
https://doi.org/10.1080/1331677X.2022.2080739
Are green bonds and sustainable cryptocurrencies truly sustainable? Evidence from a wavelet coherence analysis
Inzamam Ul Haq
Apichit Maneengam
Supat Chupradit
Chunhui Huo
Abstract
This article aims to explore the co-movement of daily returns
among S&P green bonds (GB/GBs), the top five sustainable cryptocurrencies,
Bitcoin, the Dow Jones Sustainability World Index
(DJSWI) and the Dow Jones Sustainability Emerging Market Index
(DJSEMI) to determine whether GBs, Bitcoin and sustainable cryptocurrencies
are truly sustainable; in addition, it investigates hedging
and diversification opportunities. Using a partial wavelet
coherence framework to capture the bivariate co-movement, our
findings show strong (weak) positive co-movements among GB
(sustainable cryptocurrencies) and DJSWI returns, where GBs (sustainable
cryptocurrencies) have a heterogeneous leading role in
the short-term and long-term horizons. Results indicate moderate
positive (negative) co-movement among GBs and sustainable
cryptocurrencies (Bitcoin) and DJSWI in the short run (long run).
Overall, the results show GB (sustainable cryptocurrencies) acts as
a diversifier for Bitcoin and sustainable cryptocurrencies in most
cases (DJSWI). However, increasing Bitcoin returns adversely
impacts the DJSWI in the long run. Findings are equally imperative
for green investors, crypto traders and policymakers, where
investors and traders can earn financial and social returns, and
policy-makers can deploy suitable policies for the development of
sustainable cryptocurrency mining processes. The role of Bitcoin
is alarming for the United Nations Sustainable Development Goals
and global greener economy.
Keywords
Green bonds; sustainable cryptocurrencies; Bitcoin; sustainability world index; wavelet coherence; diversifier
Hrčak ID:
303755
URI
Publication date:
31.3.2023.
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