Journal article · 2024

Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?

Będowska-Sójka, B., Kliber, A.

Finance Research Letters, 67, 105852

DOI: 10.1016/j.frl.2024.105852

Abstract

This paper examines the environmental awareness of cryptocurrency investors. We study cryptocurrencies of different consensus protocols, categorised as clean and dirty. Within the non-linear autoregressive distributed lag model (NARDL), we verify whether short- or long-run dependency exists between cryptos’ prices or volatility and the Index of Cryptocurrency Environmental Attention, ICEA. We find that the volatilities of cryptocurrencies react stronger to the changes in ICEA than the prices do and that the former respond more to the decrease of the index than to its increase. The reaction is more pronounced for dirty cryptocurrencies.

Keywords: Clean cryptocurrencies, Dirty cryptocurrencies, Environmental attention, Brent, Clean energy

Research topics: Cryptocurrency markets · Safe havens, hedging and geopolitical risk

Funding

• NCN OPUS 21, Narodowe Centrum Nauki, grant UMO-2021/41/B/HS4/02443
• COST Action CA19130 FinAI, European Cooperation in Science and Technology, grant CA19130

Cite

@article{frl2024_dirtyclean,
  title = {Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?},
  author = {Będowska-Sójka, B. and Kliber, A.},
  year = {2024},
  journal = {Finance Research Letters},
  note = {67, 105852},
  doi = {10.1016/j.frl.2024.105852}
}