Quantile time-frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets

Table 2: Averaged Connectedness Table

data("gcat2022")
partition = c(pi+0.00001, pi/5, 0)
dca = ConnectednessApproach(gcat2022, 
                            model="QVAR",
                            connectedness="Frequency",
                            nlag=1,
                            nfore=100,
                            window.size=200,
                            Connectedness_config = list(
                              FrequencyConnectedness=list(partition=partition, generalized=TRUE, scenario="ABS")
                            ))

## Estimating model

## Computing connectedness measures

## The QVAR frequency connectedness approach is implemented according to:
##  Chatziantoniou, I., Aikins Abakah, E. J., Gabauer, D., & Tiwari, A. K. (2021). Quantile time-frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets: Implications for eco-friendly investors. Available at SSRN 3970746.

kable(dca$TABLE)

	S&P.GREEN.BOND.INDEX.Total	MSCI.GLOBAL.ENVIRONMENT.Total	DOW.JONES.SUSTAINABILITY.INDEX.WORLD.Total	S&P.GLOBAL.CLEAN.ENERGY.Total	FROM.Total	S&P.GREEN.BOND.INDEX.1-5	MSCI.GLOBAL.ENVIRONMENT.1-5	DOW.JONES.SUSTAINABILITY.INDEX.WORLD.1-5	S&P.GLOBAL.CLEAN.ENERGY.1-5	FROM.1-5	S&P.GREEN.BOND.INDEX.5-Inf	MSCI.GLOBAL.ENVIRONMENT.5-Inf	DOW.JONES.SUSTAINABILITY.INDEX.WORLD.5-Inf	S&P.GLOBAL.CLEAN.ENERGY.5-Inf	FROM.5-Inf
S&P.GREEN.BOND.INDEX	68.43	10.42	13.35	7.79	31.57	55.78	8.01	10.52	5.93	24.46	12.65	2.41	2.84	1.87	7.11
MSCI.GLOBAL.ENVIRONMENT	7.39	39.77	31.62	21.22	60.23	5.94	30.61	24.59	16.35	46.87	1.45	9.16	7.03	4.87	13.35
DOW.JONES.SUSTAINABILITY.INDEX.WORLD	9.30	31.95	39.85	18.90	60.15	7.43	24.23	30.90	14.39	46.06	1.86	7.73	8.96	4.51	14.09
S&P.GLOBAL.CLEAN.ENERGY	6.32	25.02	21.99	46.66	53.34	4.85	18.68	16.45	35.66	39.98	1.47	6.35	5.55	11.00	13.36
TO	23.01	67.40	66.96	47.91	205.28	18.23	50.92	51.55	36.67	157.36	4.78	16.48	15.41	11.24	47.92
Inc.Own	91.44	107.17	106.82	94.57	cTCI/TCI	74.01	81.53	82.45	72.33	cTCI/TCI	17.43	25.64	24.37	22.25	cTCI/TCI
Net	-8.56	7.17	6.82	-5.43	68.43/51.32	-6.23	4.04	5.49	-3.31	52.45/39.34	-2.33	3.13	1.32	-2.12	15.97/11.98
NPDC	0.00	3.00	2.00	1.00		0.00	2.00	3.00	1.00		0.00	3.00	2.00	1.00

Figure 3: Dynamic Total Connectedness

PlotTCI(dca, ylim=c(0,80))

Figure 4: Net Total Directional Connectedness

PlotNET(dca, ylim=c(-40,20))

Figure 5: Net Pairwise Directional Connectedness

PlotNPDC(dca, ylim=c(-20,10))