Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak

Abstract

We investigate the return interdependence among green bonds, cryptocurrency indices and green energy-related metals. We apply time-varying parametric vector autoregression (TVP-VAR) conenctedness, wavelet coherence, Wavelet Quantile Correlation （WQC) and Quantile on Quantile (QQR) Connectedness Methods. Our empirical findings show that return connectedness has become even stronger after the outbreak of COVID-19, with both green bonds and cryptocurrency indices acting as net receivers of return spillovers. Surprisingly, Copper functioned as a net sender of return spillovers over the entire observation period. Findings revealed that the cryptocurrency index exhibited a consistent positive correlation with the green energy-related metals market at medium to short-term frequencies, whereas green bonds showed a negative correlation with metals market at short-term frequencies and a positive correlation at long-term frequencies. • After the outbreak of COVlD-19, the return interdependence became stronger. • Copper functioned as a net sender of return spillovers throughout the entire observation period. • The green bond market led the movements in the Lead and Aluminium markets at medium to long-term frequencies. • Following the outbreak of COVlD-19, returns in the cryptocurrency market influenced the Copper and Lead markets. • The cryptocurrency index consistently showed a positive correlation with the green energy-related metals market.