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Time-frequency return and volatility spillovers among CBDC uncertainty, cryptocurrency uncertainty, and ESG stock indexes

  • Jieru Wan
  • , Libo Yin
  • , You Wu*
  • , Lei Wu
  • *此作品的通讯作者
  • China University of Political Science and Law
  • Central University of Finance and Economics
  • Beijing Technology and Business University

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

Under the transformative impact of digital currencies on the financial landscape and guided by the United Nations Sustainable Development Goals, this paper examines the spillovers among central bank digital currency (CBDC) uncertainty, cryptocurrency policy uncertainty (UCRY policy), cryptocurrency price uncertainty (UCRY price), and environmental, social, and governance (ESG) stock indexes. The results indicate significant spillovers between these uncertainty indexes and ESG stock indexes. Specifically, return spillovers are concentrated at high frequencies (short-term), while volatility spillovers are concentrated at low frequencies (long-term). Additionally, cryptocurrency uncertainties act as net transmitters of information and risk, while CBDC uncertainty functions as a net receiver. However, as CBDCs continue to evolve globally, CBDC uncertainty transitions from a net receiver to a net transmitter of information and risk in the long term. These differences highlight the varying impacts of official and private digital currencies on ESG stock indexes. Furthermore, this paper reveals a notable increase in both return and volatility spillovers following the outbreak of the COVID-19 pandemic, with volatility spillovers experiencing a more significant rise. In the post-pandemic period, CBDC uncertainty exerts long-term spillover effects on ESG stock indexes. These findings provide valuable insights for investors and policymakers, emphasizing the importance of closely monitoring cryptocurrency uncertainties and long-term CBDC uncertainty to effectively mitigate potential losses. Understanding these dynamics is essential for making informed decisions and fostering sustainable investments in an increasingly digital financial ecosystem.

源语言英语
期刊论文编号103417
期刊Research in International Business and Finance
卷87
DOI
出版状态已出版 - 7月 2026

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