Are green and dirty cryptocurrencies connected with climate risk attention?

This study examines the spillover effect of climate risk attention on green and dirty cryptocurrencies using the R-squared connectedness approach. We construct climate risk attention indices based on Google Trends data. Our findings unveil a dynamic and asymmetric nature of connectedness. We observe that climate risk attention serves as the net receiver of spillover across all market conditions. This result remains consistent even when employing alternative proxies and different methodologies. The study contributes to the ongoing efforts in sustainability, highlighting the significant role of climate risk attention in influencing investment and regulatory decisions.