不同金融资产之间的关联性：来自加密货币不确定性指数的证据

IF 12.9 1区管理学 Q1 BUSINESS

Technological Forecasting and Social Change Pub Date : 2024-11-18 DOI:10.1016/j.techfore.2024.123874

Shallu Batra , Aviral Kumar Tiwari , Mahender Yadav , Albert Danso

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引用次数: 0

摘要

本研究利用 2014 年 1 月 1 日至 2022 年 12 月 30 日的每周数据，研究了加密货币不确定性指数对绿色债券、货币和商品市场的影响。研究采用时变稳健格兰杰因果检验法和 TVP-VAR-DY 方法分析了这种关系。实证研究结果表明，在金融或经济动荡期间，不确定性指数对各种金融工具的影响是不同的。DY 方法表明，金融资产之间的总关联度随时间变化很大。绿色债券市场是净接收者，而 ishares Global Clean Energy ETF (ICLN) 和 VanEck Low Carbon Energy ETF (SMOG) 指数则在整个期间传递冲击。研究结果表明，健康危机后绿色债券市场的持股为投资者提供了更大的对冲机会。研究结果对融资、对冲和政策制定具有重要影响。

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Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices

This study examines the impact of cryptocurrency uncertainty indices on green bonds, currency, and commodity markets by using weekly data from January 1, 2014, to December 30, 2022. The study analyzes such relationships employing the time-varying robust Granger-Causality test coupled with the TVP-VAR-DY approach. The empirical findings unfold the heterogeneous effects of uncertainty indices toward diverse financial instruments pronounced during financial or economic turbulence. The DY approach indicates that total connectedness among financial assets varies significantly over time. The green bond market is the net receiver, while ishares Global Clean Energy ETF (ICLN) and VanEck Low Carbon Energy ETF (SMOG) indices transmit the shocks for the whole period. The findings suggest that holdings in the green bond market after the health crisis offer greater hedging opportunities to investors. The results have significant ramifications for financing, hedging, and policymaking.

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来源期刊

Technological Forecasting and Social Change Multiple-

CiteScore

21.30

自引率

10.80%

发文量

813

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