Network Connectedness of Environmental Attention—Green and Dirty Assets

This pioneering study demonstrates the nexus between the cryptocurrency environmental attention index and the return and volatility of both green and dirty assets. We employ a dynamic connectedness approach to document these dirty bonds and equities as the main transmitter of return spillover, whereas dirty equities are the main transmitter of volatility spillover. Environmental attention appears to have a stronger impact on equities than on bonds. Our results have important implications for investment, hedging, and policymaking