Cryptocurrencies versus Sustainable Investments Dynamics:

Exploration of Multifractal Multiscale Analysis, Multifractal

Detrended Cross-Correlations and Nonlinear Granger Causality
Markus Vogl1,*, Milena Kojić2

Abstract
Within this study, we analyse cryptocurrencies versus sustainable investments dynamics by
calculating a multifractal multiscale analysis (MMA) with Hurst surfaces paired with powerlaw
distributional coherence tests for each series. Next, we determine multifractal cross-correlations
by applying a maximal overlap discrete wavelet transform (MODWT) based trend-filtered
variation of a multifractal detrended cross-correlation analysis (MF-DCCA). Finally, to determine
the strength and directionality of potential causations, we determine the results of a nonlinear
Granger causality test. The results for the MMA state 𝑞-dependent unstable multifractality for each
series. The coherence tests indicate that the series follow powerlaws or exponentially nested
powerlaws and yield fat-tails in some cases. Moreover, we find strong scaling and multifractal
cross-correlations between cryptocurrencies and the sustainability series. Finally, the nonlinear
Granger causality tests across four lags indicate a complex interplay between some of the selected
cryptocurrencies and various indices. These results suggest potential predictive power of these
cryptocurrencies on market indices.

Keywords: cryptocurrencies, sustainable investments (ESG investments), multifractal multiscale

analysis (MMA), multifractal detrended cross-correlation analysis (MF-DCCA),
nonlinear Granger causality tests

JEL: G1, C01, C02, C22, Q5

MSC: 65P20, 37N30, 05C60, 91-10

1
Executive Management, Markus Vogl {Business & Data Science}, Adelheidstrasse 51, 65185 Wiesbaden, Hesse,
Germany, e-mail: markus.vogl@vogl-datascience.de
2
Institute of Economic Sciences (Institut Ekonomskih Nauka), Zmaj Jovina 12, 11000 Belgrade, Serbia;
e-mail: milena.kojic@ien.bg.ac.rs
* Corresponding author

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1. INTRODUCTION
Two of the most conspicuous shifts in financial markets in the recent decades are the emergent
evolution and expeditious growth of environmentally friendly (sustainable) investment products
and the substantial dispersion of cryptocurrencies. These two conceptions drew the interest of
practically interested scholars owing to their inherent criticality in regard to environmental
sustainability [1]. This criticality is partly based on the herculean consequences of human actions,
which are already imminently receivable today, necessitating a transposition towards efficient
renewable energy sources, among others. This stipulation is reflected in the adaption of
environmental programs envisaging the reduction of greenhouse (or carbon) emissions up to
40-70% by 2050 as given by programs of the International Panel on Climate Change (IPCC) of
the United Nations [2]. As a result, new assets such as Green Bonds have been created, which are
serving as investment vehicles to finance sustainable-only investments. However, these assets are
found to be still inefficient [3].
Regardless, the ongoing maturation of cryptocurrencies led to the investigation of their relevance
and impact on the environment, particularly, in regard to the parallel and seemingly diametric
surge in sustainable investment products. Furthermore, it has to be situated that the denoted
emergence of cryptocurrencies has hampered the realisation of sustainability objectives.
Sustainable monetary sources (e.g., Green Bonds) and cryptocurrencies in general, represent
crucial entities in the evaluation of environmental sustainability responses. Further, this
interrelation between cryptocurrencies and sustainable investment vehicles is (partly) determined
by the investors’ choices. However, large fluctuations in the return dynamics of cryptocurrencies
as well as notable energy price surges represent key elements in risk management and asset
allocation decisions. These fluctuations may cause abnormal market boundaries and adversely
influence the financial market dimensions of return, volatility and environmental sustainability,
leading to the necessity of elucidating the interplay between sustainable investments and
cryptocurrencies closer [1]. Nevertheless, cryptocurrencies are not able to fulfil environmental-
social-governance (ESG) investment objectives, while simultaneously being tied to negatively
affecting the environment. Academic insights on cryptocurrencies are stated to be still nascent
owing to the timely delay of financial technological literature, despite the large academic response
to their launches. Furthermore, there exists a trade-off between the investors’ goal of being socially
responsive versus achieving acceptable investment returns [4].
To elucidate these denoted complex auto- and cross-correlation behaviours in carbon emissions,
energy, cryptocurrencies and financial markets, among others, the theories and methods of the
field of econophysics are seen as suitable [5]. Additionally, the stated nonlinear relationship
between carbon emission allowances and stock markets has resulted in elevated attention of
researchers and economists globally [6]. The suitability of econophysical tools can additionally be
shown by regarding the existing mutually nonlinear interactions between Bitcoin price fluctuations
and the according trading volume changes, which are revealing significant multifractality [7].

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Moreover, cross-correlations between financial market series and other potential variables are seen
as explicative feature of financial market dynamics [8]. The already mentioned interrelation of
carbon emission allowances and stock markets reveal, for example, persistent multifractal
fluctuations, multifractal cross-correlations and fat-tailed time-series distributions [6]. Further,
cross-correlation studies mostly presuppose the financial markets to be complex dynamic systems
with various interacting elements [8].
The existence of complex and chaotic dynamics in Green Bonds has already been empirically
demonstrated. Therefore, the approach taken to illustrate the multifractal cross-correlations can be
seen as logical [9]. Furthermore, the multifractality is caused by the existence of different
fluctuation amplitudes, leading to different scaling exponents in a time-series. Therefore, the
characterisation of the denoted interrelations via multifractal analysis is seen as a powerful
methodology. In practical implementations more often than not scaling ranges are observable and,
hence, are required to obtain more complete time-series information [8]. Thus, in practical
applications, the describing scaling exponents of the time-series fluctuations are mostly regarded.
Presupposing a monofractal series, only one exponent (i.e., the Hurst exponent) is required to
display the fluctuation properly. Complex and fractal properties, which are varying from point-to-
point, mandate a spectrum of scaling exponents (i.e., local Hurst exponents) and thereby are
denoting multifractality. Succinctly, multifractality in a time-series is given if inherent fluctuations
of different magnitudes are represented by different (persisting) scaling exponents [10]. The
multifractal detrended cross-correlation analysis (MF-DCCA) method is capable of detecting
various subtle effects present in the temporal structure of time-series fluctuations, i.e., by
displaying the alterations and respective cross-correlations of these alterations, including
nonlinearity and multifractality [11]. Therefore, the MF-DCCA is applicable to discern
multifractality in the cross-correlations between time-series respectively [5].
Nonlinear cross-correlations have been stated between Green Bonds and US bonds, while financial
instruments are mostly to be found multifractal cross-correlated with oil series. These are stated to
be particularly present on the level of medium-sized fluctuations in the application of the
MF-DCCA [3]. Furthermore, time-series can be analysed from the perspective of multi-scaling to
reveal potentially existing multifractal patterns or asymmetries within the corresponding
singularity spectra. Stated asymmetries if assumed left-sided indicate that there exists some
synchrony in the evolution of assets on the level of the multifractal organisation (or patterns).
These multi-scale cross-correlations are stated to be caused by marginal perturbations or effects,
while quickly vanishing as the time-series desynchronises accordingly [11]. This opens the
question of the time-evolution of the causality in these referring fluctuation synchronisations.
The issue of time-varying causality in the scientific literature, represents many advantages in this
regard. The possible change-evolutions in causal directions, reflect (economic) turbulences or
fluctuations as well as real-time instability in the variable-to-variable relationships. However, it is
sometimes unclear or difficult to decide upon the direction of causality between two related series
and to determine the existence of occurring feedback effects [12, 13].

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Notwithstanding, it can be demonstrated that the cross-spectrum between two time-series is
decomposable into measures of causal lag and causal strength, each relating to a single causal
element concerning a feedback situation [12, 13].
To elaborate on the complicated notions of cross-correlations in regard to multifractality, multi-
scaling as well as causality, this paper contributes through a step-by-step mannered analysis.
We analyse the dynamics of cryptocurrencies versus sustainable finance investments, e.g., Green
Bonds. This is done by first elucidating the multifractality and scaling features of each time-series
independently. Therefore, we calculate a multifractal multiscale analysis (MMA) and display the
related Hurst-surfaces of each time-series based on a multifractal-detrended fluctuation analysis
(MF-DFA). Moreover, we render the underlying powerlaw distributions visible by implementing
a powerlaw coherence test (see [14]). Second, we will analyse the multifractal cross-correlations
of cryptocurrencies versus various indices (e.g., Green Bonds) by implementing a maximal overlap
discrete wavelet transform (MODWT) based trend-filtered variation of the denoted MF-DCCA.
Concludingly, we will display potential existing causations by deploying the nonlinear Granger
causality test (see [15]) to derive at even deeper insights into the dynamical relationships between
cryptocurrencies and sustainability investments.
The paper is structured as follows: Section 2 presents related literature concerning financial and
environmental series in the context of the MMA, MF-DCCA and Granger causality analysis.
In Section 3, we will present the implemented methodology. The data is displayed in Section 4,
while the empirical analysis is given and being critically elaborated on in Section 5. Finally, we
conclude the paper in Section 6.

2. RELATED LITERATURE
Before we engage in the related literature on multifractal (cross-)correlation structures or scaling
properties between time-series, in particular, between cryptocurrencies and Green Bonds, we deem
it relevant to propose a primal display of a multifractal in general. According to Mandelbrot
[16, 17], a given measure 𝜇(𝑑𝑡) in [0,1] is assumed to be self-similar if it satisfies two conditions,
namely, (1) there exists an exponent 𝛼, a function of 𝑡 such that 𝜇(𝑑𝑡) is of the order of (𝑑𝑡) and
(2) the values of the set of 𝑡 where 𝛼 takes certain values is a fractal. Furthermore, we presuppose
𝑁(𝑑𝑡), representing the number of intervals characterised by 𝛼 and, hence, is the order of
(𝑑𝑡) ( ) [16]. Now, the distributional function 𝑓(𝛼) of the measures, can be obtained via the
Legendre transformation ∑ 𝜇 (𝑑𝑡), which, however, is not capable of generalising to random
( ) ( )
multifractals. Therefore, condition (2) can be reformulated as ( ⁄ )
= 𝑑𝑡𝑁(𝑑𝑡) = (𝑑𝑡) =
(𝑑𝑡) ( ) , with 𝜌(𝛼) = 𝑓(𝛼) − 1. This reflects the relative frequency, among 1⁄𝑑𝑡 intervals of
length 𝑑𝑡, of those intervals in which we can find specified values of 𝛼 [16, 17]. A summary of
multifractal theory and advanced implementations can be found in Jiang et al. [18].

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The following very brief presentation of related literature does not claim to be exhaustive and only
refers to time-series that are aligned with the scope of the paper (e.g., Green Bonds,
macroeconomic series or cryptocurrencies). As an initial example, prominent multifractal features
have been found by Li and Lu [19] in China’s agricultural commodity future markets. Furthermore,
nonlinear temporal correlations instead of a non-Gaussian distribution constitute explicative
factors of the stated multifractal features in the analysed data [19]. Existing cross-correlations
based on an MF-DCCA for the non-stationary time-series of gold, West Texas Intermediate (WTI)
and Brent crude oil and foreign exchange rates over a period of 18 years are stated in Pal et al.
[20]. Furthermore, they contrastingly state that the cross-correlation between the time-series of
gold and oil prices display uncorrelated behaviour, while the remaining bivariate time-series
showed persistency [20]. Moreover, crude oil markets and carbon series returns are shown to be
significantly cross-correlated by Zhuang et al. [21]. Additionally, multifractality has been
empirically confirmed via an MF-DFA for the analysed series. Further, based on an MF-DCCA,
existing powerlaw distributed cross-correlations between the carbon and crude oil market time-
series have been presented, while small fluctuations seem to be more persistent compared to their
larger counterparts [21]. Powerlaw cross-correlations also have been empirically identified
between market clearing prices (MCP) and the SENSEX index in Gosh et al. [22].
Additionally, multifractal cross-correlations between carbon and stock series are found to be
significant in European and Chinese markets, stating persistent small fluctuations, contrasting, the
anti-persistent large fluctuations as given in Fang et al. [6]. El Alaoui et al. [7] state price-volume
cross-correlations in Bitcoin markets ranging from July to May 2018, by applying an MF-DCCA.
Furthermore, Watorek et al. [11] display statistical and multi-scaling properties of WTI future
prices in US-Dollars related to gold futures and E-minni S&P500 future prices based on 5min
intraday frequencies in the year 2017. Moreover, Wang et al. [5] display correlations among energy
future market series (i.e., electricity, coal, natural gas and crude oil) by implementation of an
MF-DCCA paired with a frequency connectedness methodology. Again, multifractal cross-
correlations with persistent small fluctuations compared to larger fluctuations among the regarded
series have been situated [5]. Confirming the results of Gosh et al., long-range partial cross-
correlations and multifractal behaviour is found for the SENSEX index over a period of 18 years
by Sai et al. [23], alongside the SHCOMP index and Nikkei225 index daily returns. More evidence
of positively and significant cross-correlated cryptocurrencies (i.e., Bitcoin, Ethereum and Ripple)
with crude oil series (i.e., WTI and Brent) by application of the multifractal detrending moving
average cross-correlation analysis (MF-X-DMA) method is given in Ghazani and Khosravi [24].
Analysing the persistent dynamics of Brazilian inflation as representation of macroeconomic
information, is found to be also multifractal, highly complex and skew-symmetric as presented in
Fernandes et al. [25]. With these insights, the authors are capable to explicate the long-time
inflation dynamics from a ‘Macro-econophysics’ perspective properly [25]. Furthermore, Lahmiri
[26] identifies multifractal properties and reduced irregularity based on a multi-scale entropy
method in energy markets’ data during the pandemic.

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The renewable and technological prices’ (i.e., Nasdaq index and cryptocurrency ETFs) asymmetric
multifractality and according efficiency in international and Chinese markets is analysed by
Khurshid et al. [27]. The authors find strong support for the existence of asymmetric multifractality
across all renewable and technological markets under regard, realised in up- and down trends.
Further, a higher persistency in up-trends in the cross-correlations within the asset-class of
cryptocurrencies, and a stronger persistency with the Nasdaq index in the down-trend has been
identified [27].
Moving from the cross-correlations analysis based on MF-DCCAs to MMA results, we aim to
highlight the findings of Huang and Gu [8], who acquire more detailed information by applying a
multiscale multifractal detrended cross-correlation analysis (MM-DCCA). The latter method is
based on the Hurst surface and sweeps through the selected scale-range of the given multifractal
structure to identify more granular aspects of the data [8]. The authors identify fluctuation
dependencies of the Hurst surface on 𝑞-ranges and scale-ranges as well as of the length of the time-
series [8].
To even get an even richer insight into the cross-correlations, it is possible to factor out existing
auto-correlation structures and search for causally related pairs of time-series [28]. The
MF-DCCA, which we regarded so far, is capable of detecting the denoted cross-correlations,
however, does not grant an indication of the correlations’ directionality [28]. Hence, on top of the
determination of multifractal cross-correlations and multi-scale characteristics, the causality and
direction of these notions are obtainable by regarding a nonlinear Granger test (see [15]), among
others [28]. The application of a quantile-based Granger causality to analyse heterogeneous causal
relationships between cryptocurrencies, Green Bonds and other sustainable equity vehicles
ranging from 2014-2022 is displayed in Lee et al. [1]. Their results imply strong tail dependencies
and two-way Granger-causality among Green Bonds, sustainable equities and cryptocurrencies.
Since linear approaches cannot reproduce these causal relations and complex interactions, they are
deemed unsuitable to model the found asymmetric bidirectional tail-co-dependency relationships
found. Finally, large changes in cryptocurrencies are found to negatively affect Green Bonds and
sustainable equity series [1].

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3. METHODOLOGY

3.1. Multifractal Multiscale Analysis, Hurst Surfaces and Powerlaw Coherence Tests
The MMA method has prominently been introduced in Gieraltowski et al. [10] in the context of
the extended description of heart rate variability to include the dependencies on the variability
magnitudes and time scales (frequency bands). The MMA is applied to determine a multifractal
spectrum with an inherent scale range variability [10]. Most importantly, is the remark that the
MMA is relatively immune to additive noise and non-stationarity, which plays more than a crucial
role in the analysis of complex, multifractal or chaotic dynamical systems [9, 10]. The robustness
to noise is particularly important since the resulting Hurst surfaces of the MMA are based on a
classical MF-DFA (introduced 2002 by Kantelhardt et al. [29]), which may be sensitive to noise
in certain cases [9, 10].
For the MMA calculation, we apply a moving fitting window, which is swept through all the scale-
ranges 𝑠 of the 𝐹 (𝑠) plot of an MF-DFA calculation [10]. Hence, we are able to examine quasi-
continuous alterations of the ℎ(𝑞) dependence versus the scale-range 𝑠, to obtain the notation of
the generalised dependence ℎ(𝑞, 𝑠), which is labelled as Hurst-surface [10]. The seemingly
constant width of the respective window is explicated by the log-log plot nature of the 𝐹 (𝑠), thus,
the window has to expand logarithmically [10]. Therefore, as already elucidated, the focal source
of multifractality is seen in nonlinear correlations, while potential errors only exert moderate
influence on the results of an MMA [10]. The denoted Hurst surface is capable to visualise the
dynamic evolutions or behaviours of a series [30]. This notion can be extended to the cross-
correlations by implementing a multifractal multiscale detrended cross-correlation analysis
(MM-DCCA) [30]. By regarding Hurst surfaces, we may observe different multifractal features at
small and large scales or potential instabilities [30]. The method allows for an in-depth elaboration
on the properties of a series depending on the magnitude and time scale through regarding localised
surfaces [31]. Thus, we can state that the Hurst surfaces can display a notable amount of hidden
information through the analysis of both 𝑞 and 𝑠 parameters [8]. In general, the points of the ℎ(𝑞, 𝑠)
graph are connected to form a coloured surface, while as already denoted, the 𝐹 (𝑠) are plotted on
a logarithmic axis [10]. However, the Hurst surface is displayed on a linear axis [10].
It is of relevance to note that 𝑞 < 0 implies small fluctuations, while 𝑞 > 0 corresponds to large
fluctuations in the Hurst surface [32]. For financial series, one could observe strong multifractality
for positive 𝑞-values, owing to the existence of long-range correlations of larger fluctuations in
the series [32]. Additionally, concerning the standard ℎ(𝑞), results for 𝑞 > 0 are more stable and
lesser prone to errors, while 𝑞 < 0 results should be interpreted carefully [10]. As for the
interpretation, ℎ ∈ (0, 0.5) means anti-persistency, ℎ = 0.5 denotes uncorrelated noise,
ℎ ∈ (0.5, 1) indicates persistency, ℎ = 1.5 implies Brownian noise and ℎ ≥ 2 assumes black noise
[10].

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Lastly, the powerlaw distributional coherence tests encompass the calculation of complementary
cumulative distribution function (CCDF) plots to illustrate a respective distributional comparison
with a pure (or theoretical) powerlaw distribution versus various other potential fits for each series
[14]. To be more detailed, the CCDF 𝐹 (𝑥), representing the tail distribution (also labelled as
survival or reliability function), answers the question of the particular level exceedance of a given
random variable and is defined as 𝐹 (𝑥) = 𝑃(𝑋 > 𝑥) = 1 − 𝐹 (𝑥) [33, 34]. Henceforth, the data
graphs and CCDF distributional comparisons will be depicted. Finally, distributional coherence
tests are conducted by applying paired distributional fitting comparisons based upon log-likelihood
measures, alongside other distributional parameters [14]. These serve the purpose of achieving an
indication, which distributional model may suit the datasets best, or which, at least is the less
‘negative’ fit. Note that these tests are not a measure of goodness of fit, yet, rather represent a
comparative indication [14].

3.2. MODWT based MF-DCCA Methodology

The MF-DCCA has been coined by Zhou [35] and has subsequently been employed extensively
to explore multifractal patterns and nonlinear interactions across a spectrum of fields, ranging from
climate research (see [36]), financial market analysis (see [31]), to traffic flow dynamics (see [37]).
While the MF-DCCA accurately captures the multifractal features and long-range dependencies
in nonstationary time-series, the methodology's efficacy is contingent upon the appropriate
selection of the detrending polynomial degree, as this can influence the fitting process and affect
the scaling exponents' accuracy. Addressing this issue, Cao and Xu [38] proposed an enhancement
by incorporating the MODWT within the MF-DCCA. This integration facilitates a refined analysis
of the cross-correlations by segregating time-series into detailed coefficients. Thus, we are
obtaining analytically higher frequency fluctuations and subtle deviations from the main trend,
while simultaneously being capable of identifying overarching trends through smooth coefficients
[38]. The steps of the MODWT-based MF-DCCA are outlined below.

Initialization. We consider two (possible non-stationary) time series {𝑥(𝑡)} and {𝑦(𝑡)} of the
same length 𝑁, where 𝑡 = 1,2, . . , 𝑁.

Step 1. Construct the profiles {𝑋(𝑡)} and {𝑌(𝑡)} from the respective time-series as the cumulative
deviation series

𝑋 (𝑡) = (𝑥 − 𝑥̅ ) and 𝑌 (𝑡) = (𝑦 − 𝑦 ),

where 𝑥̅ and 𝑦 denote their respective mean values and 𝑡 = 1, 2, … , 𝑁.

Step 2. Divide the aforementioned profiles 𝑋(𝑡) and 𝑌(𝑡) into 𝑁 = 𝑖𝑛𝑡 (𝑁/𝑠) non-overlapping
segments of equal length 𝑠. In cases where the series length 𝑁 does not divide evenly by the chosen
time scale 𝑠, the analysis repeats the segmentation process from the opposing end of the profile.
This results in a total of 2𝑁 segments ensuring the comprehensive coverage of the data.

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Step 3. Employ the MODWT to determine the local trend within each segment
𝑥 (𝑖) = 𝑆 ,
(2)
𝑦 (𝑖) = 𝑆 ,
where 𝑖 = 1,2, … , 𝑠; 𝜈 = 1, … , 𝑁 .

The MODWT is a more sophisticated form of the discrete wavelet transformation (DWT), known
for its effectiveness with non-stationary time-series and dyadic length data [38, 39, 40]. Thus, the
MODWT deconstructs a time-series into multiple layers
𝑥(𝑡) = 𝑆 , 𝜙 , (𝑡) + 𝐷 , 𝜑 , (𝑡) + 𝐷 , 𝜑 , (𝑡) + ⋯ + 𝐷 , 𝜑 , (𝑡)

with the highest wavelet scale level being represented by 𝐽 and the detailed coefficients 𝐷 capturing
short-term variations, while the smooth coefficients 𝑆 represent long-term trends, both of which
can be approximated through integration [41]

𝑆, ≈ 𝜙 , 𝑥(𝑡)𝑑𝑡

𝐷, ≈ 𝜑 , 𝑥(𝑡)𝑑𝑡

Step 4. For each of the 2𝑁 segments, compute the local variance, which measures of the deviation
of the detrended data from the local trend.
For 𝑣 = 1,2, … , 𝑁 :
1
𝐹 (𝑣, 𝑠) = |𝑋[(𝑣 − 1)𝑠 + 𝑖] − 𝑥 (𝑖)||𝑌[(𝑣 − 1)𝑠 + 𝑖] − 𝑦 (𝑖)| (3)
𝑠
For 𝑣 = 𝑁 + 1, 𝑁 + 2, … ,2𝑁 :
1
𝐹 (𝑣, 𝑠) = |𝑋[𝑁 − (𝑣 − 𝑁 )𝑠 + 𝑖] − 𝑥 (𝑖)||𝑌[𝑁 − (𝑣 − 𝑁 )𝑠 + 𝑖]
𝑠 (4)
− 𝑦 (𝑖)|

Step 5. Synthesize the variances across all the segments to derive the 𝑞 order overall detrended
fluctuation function

1
𝐹 (𝑠) = [𝐹 (𝑣, 𝑠)] , 𝑞≠ 0
2𝑁
(5)
1
𝐹 (𝑠) = exp{ log 𝐹 (𝑣, 𝑠)}, 𝑞 = 0.
4𝑁

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In the context of the MF-DCCA, the scaling behaviours and correlations within the data are of
dominant interest. For the time-series that are exhibiting long-range powerlaw correlations, the
fluctuation functions follow a scaling law 𝐹 (𝑠)~𝑠 ( ) , where ℎ (𝑞) denotes the generalised
Hurst exponent [38]. This exponent is pivotal in characterising the scaling behaviour of the data
segments, particularly for varying magnitudes of the fluctuations, i.e., regarding smaller
fluctuations when 𝑞 is negative and larger fluctuations when 𝑞 is positive [38].
When ℎ (2) > 0.5, the cross-correlations are discerned as long-range persistent, indicative of a
trend-reinforcing behaviour over time. Conversely, ℎ (2) < 0.5 implies anti-persistent cross-
correlations, suggesting a trend-reversing dynamic. If ℎ (2) = 0.5 there is an absence of long-
range correlations, which could be indicative of a random walk. This is analogue to the MMA.
The multifractal nature of a time-series is summarised by the multifractal scaling exponent 𝜏(𝑞),
which is linearly related to the generalised Hurst exponent through the transformative relation
𝜏(𝑞) = 𝑞ℎ (𝑞) − 1 [17, 16]. A monofractal structure is suggested by a linear 𝜏(𝑞) versus 𝑞
relationship, while multifractality is indicated by a nonlinear relationship, thereby highlighting the
complexity and scale-invariance inherent in the time-series [17, 16]. Advancing to the Legendre
transform facilitates the transition to the multifractal spectrum 𝑓 (𝛼), where 𝛼 = ℎ (𝑞) +
𝑞ℎ (𝑞) and 𝑓 (𝛼) = 𝑞𝑎 − 𝜏(𝑞) [38].

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3.3. Nonlinear Granger Causality Test
For the assessment of causal interrelations between cryptocurrencies and (green) bond markets,
we implement the nonlinear Granger causality test. This test, an enhancement of the original
concept pioneered by Granger [15] and provides a framework for discerning the causal linkages
between variables, while taking into account the nonlinear dynamics, which are often present in
financial time series [42, 15, 43]. The methodology for conducting a nonlinear Granger causality
test involves analysing two time series {𝑋 } and {𝑌 }, which are presumed to be stationary and
weakly dependent. Thus, certain vectors are created to represent the lead of {𝑋 } and {𝑌 } of the
length of 𝑚 (see [42, 43]) denoted as

𝑋 ≡ (𝑋 , 𝑋 , 𝑋 , … , 𝑋 )
𝑌 ≡ (𝑌 , 𝑌 , 𝑌 , … , 𝑌 )

and the lags of 𝛼-length and 𝛽-length

𝑋 ≡ (𝑋 , 𝑋 ,𝑋 ,…,𝑋 )
𝑌 ≡ 𝑌,𝑌 ,𝑌 ,…,𝑌

which are then used to assess the causality between the two series.
Nonlinearity in the Granger causality is tested by comparing the conditional probabilities of these
vectors being within a maximum norm distance 𝑒 of each other, given shorter lag distances, to
infer if {𝑌 } nonlinearly Granger causes {𝑋 }. That is, quantifying this comparison through the joint
probabilities, which, if found to be significantly different, reject the Null hypothesis that one time-
series does not nonlinearly Granger causes the other [42, 43].
The notion can be displayed as

𝑃𝑟(||𝑋 – 𝑋 || < 𝑒||𝑋 –𝑋 || < 𝑒, ||𝑌 –𝑌 || < 𝑒)

(7)
= 𝑃𝑟(𝑋 – 𝑋 || < 𝑒|| 𝑋 − 𝑋 ||< 𝑒 ),

where 𝑚, 𝛼, and 𝛽 are each greater than or equal to 1, 𝑒 > 0 and 𝑃𝑟(·) denotes the probability
and ∥·∥ denotes the maximum norm. In the context of nonlinear Granger causality testing, the Null
hypothesis that time series {𝑌 } does not nonlinearly Granger cause {𝑋 } is assessed by comparing
the conditional probabilities expressed as the ratios [42, 43].

𝐶1(𝑚 + 𝛼, 𝛽, 𝑒) ≡ 𝑃𝑟(||𝑋 − 𝑋 || < 𝑒, ||𝑌 –𝑌 || < 𝑒)

𝐶2(𝛼, 𝛽, 𝑒) ≡ 𝑃𝑟(||𝑋 –𝑋 || < 𝑒, ||𝑌 –𝑌 | < 𝑒) (8)
𝐶3(𝑚 + 𝛼, 𝑒) ≡ 𝑃𝑟(||𝑋 − 𝑋 || < 𝑒)
𝐶4(𝛼, 𝑒) ≡ 𝑃𝑟(||𝑋 –𝑋 ||< 𝑒)

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These ratios compare the probabilities that the lead and lag vectors of the time-series are within a
certain maximum norm distance, and the Null hypothesis is rejected if these probability ratios
differ significantly. Hence, the Null hypothesis can be reformulated [42, 43].

𝐶1(𝑚 + 𝛼, 𝛽, 𝑒) 𝐶3(𝑚 + 𝛼, 𝑒)
𝐻0: = (9)
𝐶2(𝛼, 𝛽, 𝑒) 𝐶4(𝛼, 𝑒)

A kernel function 𝐼 = (𝑍 , 𝑍 , 𝑒) is applied to determine the proximity of the vectors 𝑍 and 𝑍

taking the value of 1 when they are within a maximum norm distance 𝑒 of each other, and zero
otherwise [42, 43].
1, ∥𝑍 − 𝑍 ∥≤ 𝑒
𝐼 = (𝑍 , 𝑍 , 𝑒) = (10)
0, ∥𝑍 − 𝑍 ∥> 𝑒

Moreover, the correlation-integral estimators for the joint probabilities in the nonlinear Granger
causality testing are then expressed in terms of these kernels [42, 43].
𝐶1(𝑚 + 𝛼, 𝛽, 𝑒, 𝜆)
2
≡ 𝐼(𝑥 ,𝑥 , 𝑒) · 𝐼(𝑦 ,𝑦 , 𝑒)
𝜆(𝜆 − 1)
2
𝐶2(𝛼, 𝛽, 𝑒, 𝜆) ≡ 𝐼(𝑥 ,𝑥 , 𝑒) · 𝐼(𝑦 ,𝑦 , 𝑒)
𝜆(𝜆 − 1)
(11)
2
𝐶3(𝛼, 𝛽, 𝑒, 𝜆) ≡ 𝐼 𝑥 ,𝑥 ,𝑒
𝜆(𝜆 − 1)

2
𝐶4(𝛼, 𝑒, 𝑛) ≡ 𝐼(𝑥 ,𝑥 , 𝑒)
𝜆(𝜆 − 1)
where 𝑡, 𝑠 = 𝑚𝑎𝑥(𝛼, 𝛽) + 1, . . . , 𝑇 − 𝑚 + 1, 𝑛 = 𝑇 − 𝑚𝑎𝑥(𝛼, 𝛽) − 𝑚 + 1.

When testing for nonlinearity in Granger causality, the test statistic is formulated by comparing
the ratios of the joint probabilities, normalised by the sample size [42, 43],

𝐶1(𝑚 + 𝛼, 𝛽, 𝑒) 𝐶3(𝑚 + 𝛼, 𝑒)
√𝑛 − ∼ 𝑁 0, 𝜎 (𝑚, 𝛼, 𝛽, 𝑒) . (12)
𝐶2(𝛼, 𝛽, 𝑒) 𝐶4(𝛼, 𝑒)

This statistic approximates a normal distribution, enabling the use of conventional critical values
to test the Null hypothesis that one time-series does not nonlinearly Granger cause another.
Consistent variance estimation is crucial for this approach, and for practical simplicity, certain
parameters such as the maximum norm distance and the length of vectors are chosen based on
related literature [42, 43].

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4. DATA
To meet the objectives of our study, we employ six cryptocurrencies and four indices, which are
displayed in Table 1. Furthermore, the series’ price-data are extracted from Yahoo Finance with
daily frequency ranging from Jan 24, 2019 to Jan 24, 2024. For each series we subsequently
calculate the respective return series.

Table 1: Display of applied data series with a brief contextual description.

Data Series Description

Cryptocurrencies
The native token of Cardano, a blockchain platform designed for smart contracts and
ADA
decentralised applications.
The native cryptocurrency of Hedera Hashgraph, a network that aims to provide a more
HBAR
efficient system than traditional blockchain for processing transactions and smart contracts.
Solana's cryptocurrency, known for its high throughput and fast transaction speeds on its
SOL
decentralized blockchain.
Chia Network's cryptocurrency, which uses a novel consensus mechanism called proof of space
XCH
and time.
Stellar Lumens, the native asset of the Stellar network, which focuses on cross-border
XLM
transactions and digital asset issuance.
XRP Ripple's digital currency, designed for fast and low-cost cross-border payments.
Indices
S&P Green A subset of the S&P500 Bond index, consisting of green bonds, which are used to finance
Bonds sustainable and environmental projects.
S&P500 An index that measures the performance of U.S. corporate debt issued by constituents in the
Bond S&P 500.
A stock market index that measures the stock performance of 500 large companies listed on
S&P500
stock exchanges in the United States.
An index that incorporates environmental, social, and governance factors alongside traditional
S&P ESG
financial metrics for S&P 500 companies.

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5. EMPIRICAL RESULTS
The empirical results lean notably towards graphical displays, which requires us to condense the
graphical illustrations. However, we provide high resolution graphics for each calculation in the
supplementary material of this study.

5.1. Multiscale Multifractal Analysis, Hurst Surface and Powerlaw Test Results
For the MMA, we calculated the Hurst surfaces ℎ(𝑞, 𝑠) for the parameter setting 𝑞 ∈ [−10, 10]
and 𝑠 ∈ [30, 600] for all datasets independently as displayed in Figure 1. For the interpretation,
we will distinguish positive versus negative 𝑞-values as we regard increasing 𝑠-values. Thus,
Table 2 proposes an interpretative overview by separating the Hurst surfaces into four consecutive
segments, namely, (1) positive 𝑞 values and larger 𝑠, (2) positive 𝑞 values and smaller 𝑠,
(3) negative 𝑞 values and larger 𝑠 and (4) negative 𝑞 values and smaller 𝑠. In total, we observe that
anti-persistency is more imminent for large values of 𝑞 alongside the whole scale range or,
especially, for larger 𝑠 values. Contrastingly, high persistency is found for negative 𝑞 ranges and
either very small or large 𝑠 values. Notwithstanding, the most series tend to show persistency over
the complete scale range for negative 𝑞 values. Following our statements in Section 3.1, we need
to abstain from a non-careful interpretation of negative 𝑞 values paired with smaller fluctuating
scales, since these tend to be impairments of noise (even if the MMA is robust against it).
Surprisingly, through the MMA, we find more anti-persistent behaviour in large 𝑞 ranges
compared to smaller 𝑞 ranges over the whole segment of scales. This does not void the presence
of multifractalities in the series, since all of the series show at least one segment of persistency.
However, an overall generalising statement on the existence and behaviour of multifractality is not
feasible at this point. This is owing to each series showing notable nuances to their respective
scaling for varying 𝑞 ranges, i.e., multifractality itself may be unstable (refer to Vogl [44]).

Table 2: Interpretation overview of the Hurst surfaces of the MMA for each dataset given in Figure 1. The plots are interpreted in
four segments. The 𝑞 + denotes 𝑞 ∈ [0, +10] and 𝑞 − denotes 𝑞 ∈ [−10,0]. For the scale, 𝑠 + indicates 𝑠 ∈ [250,600] and
𝑠 ∈ [30,250].

Data [𝒒+, 𝒔+] [𝒒+, 𝒔−] [𝒒−, 𝒔+] [𝒒−, 𝒔−] Overall
Shift from Persistent
Sift from anti- Increasing Increasing
persistence to behaviour with
ADA persistence to persistence with persistence with
anti-persistence exception of +𝑞
(a.) persistence with increasing 𝑠 and increasing 𝑠 and
with increasing 𝑞 for very high and
increasing 𝑞 and 𝑠 decreasing 𝑞 decreasing 𝑞
and 𝑠 very low 𝑠.
Mixture/Shift Increasing Shift from anti-
HBAR Increasing anti- between anti- Increasing persistency, yet, persistence to
(b.) persistency persistence and persistency slight decrease high persistence
uncorrelated noise for increasing 𝑠 for decreasing 𝑞
Consistent
Shift from Persistency, yet, persistency for
Sift from anti-
persistence to kink to anti- medium scales
SOL persistence to Increasing
anti-persistence persistency in over all 𝑞. Anti-
(c.) persistence with persistency
with increasing 𝑞 the middle persistency else,
increasing 𝑞 and 𝑠
and 𝑠 segment besides high
scales

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 Shift from anti-
XCH Increasing anti- Increasing anti- Increasing Increasing persistence to
(d.) persistency persistency persistency persistency high persistence
for decreasing 𝑞
Shift from weak Despite
persistence to Strong increase persistence for
Fluctuating, yet, Fluctuating, yet,
XLM weak anti- in persistence small 𝑠 and high
consistent anti- consistent anti-
(e.) persistence with for small 𝑠 and negative 𝑞, series
persistence persistence
increasing 𝑞 and high negative 𝑞 tends to anti-
𝑠 persistency
Despite
Constant
Constant Shift from Strong increase persistence for
segment of
XRP segment of persistence to anti- in persistence small 𝑠 and high
decreasingly
(f.) strong anti- persistence with for small 𝑠 and negative 𝑞, series
strong anti-
persistency increasing 𝑞 and 𝑠 high negative 𝑞 tends to stronger
persistency
anti-persistency
Persistency, yet, Moderate Despite anti-
Constant Shift from
kink to anti- increase in persistence for
S&P500 segment of persistence to anti-
persistency in persistence for large 𝑠 and high
(g.) strong anti- persistence with
the middle small 𝑠 and high 𝑞, series tends to
persistency increasing 𝑞 and 𝑠
segment negative 𝑞 persistency
Strong
Shift from
persistency for
persistence to Dropping strong
S&P500 Fluctuating, yet, large 𝑠 and high
strong anti- persistency to anti- Very strong
Bond consistent negative 𝑞, while
persistence with persistency for persistency
(h.) persistence strong anti-
increasing 𝑞 and increasing 𝑞 and 𝑠
persistency for
𝑠
high 𝑞
Strong
persistency for
S&P large 𝑠 and high
Green Increasing anti- Increasing anti- Decreasing anti- Increasing negative 𝑞, while
Bond persistency persistency persistency persistency fluctuating anti-
(i.) persistency for
the other
segments
Despite anti-
Shift from
Constant persistence for
S&P persistence to Increasing, yet, Decreasing, yet,
segment of large 𝑠 and high
ESG strong anti- consistent consistent
strong anti- 𝑞, series tends to
(j.) persistence with persistency persistency
persistency stronger
increasing 𝑞 and 𝑠
persistency

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Figure 1: Hurst surfaces as result of the MMA, with for the parameter setting 𝑞 ∈ [−10,10] and 𝑠 ∈ [30,600] for all datasets.
Note that blue coloured sections imply anti-persistency, while the red coloured sections refer to persistent behaviour.

a. ADA b. HBAR c. SOL

d. XCH e. XLM f. XRP

g. S&P500 h. S&P500 Bond i. S&P Green Bonds

j. S&P ESG

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The distributional results for the CCDFs are stated in Table 3. We need to denote that a CCDF
comparison is no goodness of fit test and has to be treated carefully in its interpretation. This
implies that there could be several potential fits or none at all. Therefore, we need to elaborate on
the tabular numerical results as well as the graphical representations given in Figure 2. To begin
with the graphical illustrations, all sets seem to follow some kind of powerlaw distributional
specification. The sets ADA, XCH, XLM and all of the S&P indices visually display fat-tails on
the far-right end of the distributional display. To quantify these insights, we are referring to the
test results and begin by stating that ADA may fit all of the elucidated distributional types,
however, we will assume a classical powerlaw for this outlay. The series HBAR, XCH, S&P500,
and S&P ESG show significant signs of following a powerlaw, which is nested into an exponential
distribution. Contrastingly, the series SOL, XLM, XRP, S&P Bond and S&P500 Green Bond do
not show significant signs to belong to any of the tested distributions. Visually, they seem to follow
some specification of a powerlaw, however, we only can state that these sets do not significantly
follow the ones tested in this paper.
Table 3: Distribution coherence test metrics displaying the minimum scaling factor alpha (𝛼 ), its respective standard error sigma
(𝜎 ), the minimal Kolmogorov-Smirnov distance (D), optimal fitting start-value for powerlaws (X(min)) minimising D, the log-
likelihood ratio R between two candidate distributions and its normalisation, which is underlying the calculation of according
p-values. Note that the following distributions are compared: powerlaw versus (1) truncated powerlaw (P(pow)), (2) exponential
(P(exp)) and (3) lognormal (P(log)). ‘n‘ indicates zero value and the brackets include the sign of the R value. Note that if the R
value has a negative sign, the latter distribution is favoured, and the first else. If the p-value is significant given a certain
significance level (e.g., p < 0.05), then the sign of R is significant. Warning: Even if a distribution is significantly favoured over
another, does not imply that the said distribution holds. Therefore, one can refer to the CCDF plots.

Dataset 𝜶 𝝈 D X(min) P(pow) P(exp) P(log)

ADA 2.38 0.07 0.08 0.03 n (-) n (-) n (-)
HBAR 2.85 0.15 0.04 0.05 0.31 (-) 0.03 0.63 (-)
SOL 3.89 0.37 0.06 0.13 0.38 (-) 0.69 0.61 (-)
XCH 2.43 0.16 0.04 0.03 0,31 (-) 0,04 0,61 (-)
XLM 3.18 0.21 0.03 0.06 0.55 (-) 0.07 0.78 (-)
XRP 3.03 0.21 0.04 0.07 0.41 (-) 0.15 0.66 (-)
S&P500 3.58 0.25 0.04 0.01 0.85 (-) 0.04 0.94
S&P500 Bond 3.81 0.28 0.05 0.01 0.11 (-) 0.88 (-) 0.33 (-)
S&P Green Bond 4.11 0.41 0.06 0.01 0.31 (-) 0.91 0.54 (-)
S&P ESG 3.55 0.22 0.03 0.01 0.75 (-) 0.04 0.91 (-)

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Figure 2: Overview of powerlaw coherence test between a theoretical powerlaw (straight line) and the CCDF of each dataset.

a. ADA b. HBAR c. SOL

d. XCH e. XLM f. XRP

g. S&P500 h. S&P500 Bond i. S&P Green Bonds

j. S&P ESG

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5.2. MODWT based MF-DCCA Results
Now, we deploy the MODWT based MF-DCCA algorithm, which is an extended method of the
MF-DCCA. It is executed to quantitatively measure the cross-correlations and to analyse the cross-
correlations for each pair of time-series between selected cryptocurrencies and S&P sustainability
and performance indices. We present in Figure 3 through Figure 6 the log-log plots of the
fluctuation functions for all the cryptocurrency pairs in conjunction with the S&P sustainability
and performance indices at selected values for 𝑞 ∈ [−10,10]. The plots reveal a consistent
powerlaw scaling behaviour, evidenced by the linearity of the fluctuation functions across all
values of 𝑞. This linearity implies the presence of powerlaw cross-correlations between the pairs,
indicating that significant price movements in one market are likely to be mirrored by
proportionally significant movements in another market that is either spatially or temporally
connected.

Figure 3: Fluctuation functions of cryptocurrencies and the S&P500.

a. ADA b. HBAR c. SOL

d. XCH e. XLM f. XRP

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Figure 4: Fluctuation functions of cryptocurrencies and the S&P500 Bond.

a. ADA b. HBAR c. SOL

d. XCH e. XLM f. XRP

Figure 5: Fluctuation functions of cryptocurrencies and the S&P Green Bond.

a. ADA b. HBAR c. SOL

d. XCH e. XLM f. XRP

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Figure 6: Fluctuation functions of cryptocurrencies and the S&P ESG.

a. ADA b. HBAR c. SOL

d. XCH e. XLM f. XRP

By utilizing the MODWT based MF-DCCA technique, we compute the generalised Hurst
exponent and subsequently infer the singularity spectrum. The generalised Hurst exponent ℎ (𝑞)
for all pairings of the S&P500, S&P500 Bonds, S&P Green Bonds, and S&P ESG indices with the
six different cryptocurrencies is shown in Figure 7. Across all the pairs, there exists a common
trend of ℎ (𝑞) values decreasing as 𝑞 moves from the negative to positive, indicating
multifractality in the time-series. The S&P500 index and the cryptocurrencies exhibit the most
pronounced multifractality with higher ℎ (𝑞) values, especially, for small fluctuations 𝑞 < 0,
suggesting strong persistence of trends. The S&P500 Bonds and the cryptocurrencies show lower
ℎ (𝑞) values, indicating less persistence, which is reflective of the typically lower volatility in
bond markets. The S&P Green Bonds stand out with the highest ℎ (𝑞) values, implying strong
persistence across all fluctuations, potentially pointing to the growing stability and investors’
confidence in green financial instruments. Lastly, the S&P ESG presents ℎ (𝑞) values that are
intermediate, suggesting a balance between the high multifractality of the S&P500 index and the
lower multifractality of the S&P500 Bonds. This is aligning with the mixed nature of the ESG
investments that span a range of industries and company behaviours. Overall, the analysis suggests
that the green and ESG-focused financial products may offer distinctive market behaviours
compared to the traditional indices and bonds when paired with cryptocurrencies.

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Figure 7: Generalised Hurst exponent for the MODWT-based MF-DCCA for indices versus cryptocurrencies.

a. S&P500 b. S&P500 Bond

c. S&P Green Bonds d. S&P ESG

As displayed in Figure 8, the scaling exponent against the moment orders for the considered
S&P indices paired with the cryptocurrencies exhibit a mild nonlinear relationship that suggest
subtle multifractal characteristics. The 𝜏 (𝑞) plots for the S&P500, S&P500 Bonds, S&P Green
Bonds, and S&P ESG indices, when paired with a range of the cryptocurrencies, show that as 𝑞
increases, 𝜏 (𝑞) also increases in a fashion that is not strictly linear. This is indicating slight
variations in the scaling behaviour across the different magnitudes of the fluctuations. These
deviations from linearity are indicative of multifractality, but the close alignment of the plots for
the different cryptocurrency pairs suggests that these multifractal characteristics are broadly
similar across different financial instruments. This could reflect the complex dynamics of
cryptocurrency markets influencing traditional financial sectors, resulting in nuanced multifractal
behaviours that are nonetheless consistent within the context of each financial index.

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Figure 8: Scaling exponents of the MODWT-based MF-DCCA for indices versus cryptocurrencies.

a. S&P500 b. S&P500 Bond

c. S&P Green Bonds d. S&P ESG

The multifractal spectra across the different S&P indices paired with various cryptocurrencies is
shown in Figure 9. Each bell-shaped spectrum reveals the range of the singularities within the
market data, with the width of the spectrum indicating the degree of multifractality. The S&P ESG
and Green Bonds spectra suggest a diverse range of market behaviours, as indicated by the spread
and peaks of the 𝑓 (𝛼) curves. While the S&P500 and S&P500 Bonds show relatively similar
multifractal behaviours, the Green Bonds and ESG-focused instruments exhibit slight variations
in their spectra. This is potentially reflecting the specific market dynamics and investor sentiments
associated with the environmentally and socially responsible investments. The consistency in the
shape of the spectra across all the pairings points to underlying multifractal characteristics in the
financial market, which are influenced by the complex interactions between the traditional
financial instruments and the relatively new asset class of cryptocurrencies.

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Figure 9: Multifractal spectrum of the MODWT-based MF-DCCA for indices versus cryptocurrencies.

a. S&P500 b. S&P500 Bond

c. S&P Green Bonds d. S&P ESG

5.3. Nonlinear Granger Causality Test Results

The nonlinear Granger causality tests is conducted across four lags and indicates a complex
interplay between some of the selected cryptocurrencies and various indices. ADA, HBAR, SOL,
XCH, XLM, and XRP exhibit a significant causal relationship with the S&P500, S&P500 Bonds,
S&P Green Bonds, and S&P ESG indices at different levels of significance. ADA shows consistent
causality with all the analysed indices across most lags, particularly strong with the S&P500.
HBAR, SOL, and XCH present a notable two-way causality with the S&P 500 Bonds, implying a
reciprocal predictive relationship. XLM and XRP also demonstrate significant causality with the
sustainability-focused indices, especially the S&P Green Bonds and S&P ESG index. These results
suggest potential predictive power of these cryptocurrencies on traditional market indices,
revealing a dynamic that could be crucial for investment strategies and market analysis. The results
are displayed in Table 4 through Table 7. Please note that 𝛼 = 𝛽 denotes the residual series of
the lag order number, while, for example, ‘ADA > S&P500’ means the original hypothesis of ADA
being a Granger causality of S&P500.

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The values in the tables are the 𝑡 values and the corresponding level of significance, namely,
∗ denotes a 10% significance level, ∗∗ denotes a 5% significance level and ∗∗∗ denotes an 1%
significance level.

Table 4: Nonlinear Granger causality tests between S&P500 versus the cryptocurrencies.

ADA S&P HBAR S&P SOL S&P XCH S&P XLM S&P XRP S&P
> 500 > 500 > 500 > 500 > 500 > 500
S&P > S&P > S&P > S&P > S&P > S&P >
500 ADA 500 HBAR 500 SOL 500 XCH 500 XLM 500 XRP
7.653 13.709 26.138 13.623 6.952 13.801 108.725 13.163 135.175 13.069 157.743 13.036
1
*** *** *** *** *** *** *** *** *** *** *** ***
9.044 5.950 26.094 5.917 10.182 5.946 120.995 5.678 164.698 5.620 208.514 5.599
2
*** *** *** *** *** *** *** *** *** *** *** ***
6.134 2.548 17.251 2.603 6.935* 2.575 81.139 2.575 113.760 2.557 146.555 2.553
3
*** *** *** *** ** *** *** *** *** *** *** ***
3.929 11.168 4.458 62.337 77.284 100.687
4 0.816 0.897 0.806 1.024 1.047 1.064
*** *** *** *** *** ***

Table 5: Nonlinear Granger causality tests between S&P500 Bonds versus the cryptocurrencies.

ADA S&P HBAR S&P SOL S&P XCH S&P XLM S&P XRP S&P
> 500 > 500 > 500 > 500 > 500 > 500
S&P Bonds S&P Bonds S&P Bonds S&P Bonds S&P Bonds S&P Bonds
500 > 500 > 500 > 500 > 500 > 500 >
Bonds ADA Bonds HBAR Bonds SOL Bonds XCH Bonds XLM Bonds XRP
8.288 12.610 12.468 7.750 12.654 116.982 12.037 146.829 11.927 172.243 11.879
1 27.825
*** *** *** *** *** *** *** *** *** *** ***
9.053 5.970 5.911 10.214 6.033 120.311 5.635 164.476 5.552 208.115 5.524
2 26.147
*** *** *** *** *** *** *** *** *** *** ***
6.111 2.999 3.017 3.063 6.922 80.173 2.921 112.621 2.869 144.846 2.859
3 17.211
*** *** *** *** *** *** *** *** *** *** ***
3.904 1.459 11.113 1.498 4.442 1.482 61.389 1.528 1.514 1.517 76.672 99.200
4
*** * *** ** *** * *** ** ** ** *** ***

Table 6: Nonlinear Granger causality tests between S&P Green Bonds versus the cryptocurrencies.

ADA S&P HBAR S&P SOL S&P XCH S&P XLM S&P XRP S&P
> Green > Green > Green > Green > Green > Green
S&P Bonds S&P Bonds S&P Bonds S&P Bonds S&P Bonds S&P Bonds
Green > Green > Green > Green > Green > Green >
Bonds ADA Bonds HBAR Bonds SOL Bonds XCH Bonds XLM Bonds XRP
5.185 6.589 4.441 5.314 28.760 3.070 33.918 2.053 37.086 2.179
1 0.324 -0.984
*** *** *** *** *** *** *** *** *** **
7.1551 11.325 20.495 10.936 11.470 20.495 9.8109 7.8528 9.3136 76.12 8.9951 91.54
2
5*** 5*** 8*** 5*** 3*** 8*** 9*** 9*** 4*** 5*** 7*** 3***
7.155* 11.326 20.496 10.937 11.470 20.496 9.811 7.853 9.314 8.324 8.995 8.267
3
** *** *** *** *** *** *** *** *** *** *** ***
6.082* 8.477 16.908 8.516 6.864 8.534 77.044 8.398 104.01 61.83 129.31 75.43
4
** *** *** *** *** *** *** *** *** 0*** 3*** ***

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Table 7: Nonlinear Granger causality tests between S&P ESG versus the cryptocurrencies.

S&P S&P S&P S&P

ADA S&P HBAR SOL XCH XLM XRP S&P
ESG ESG ESG ESG
> ESG > > > > > ESG
> > > >
S&P > S&P S&P S&P S&P S&P >
HBAR SOL XCH XLM
ESG ADA ESG ESG ESG ESG ESG XRP
7.646 13.694 26.116 13.610 6.943 13.787 108.609 13.151 135.018 13.058 157.545 13.026
1
*** *** *** *** *** *** *** *** *** *** *** ***
9.044 5.935 26.093 5.903 10.181 5.931 120.981 5.665 164.677 5.609 208.479 5.587
2
*** *** *** *** *** *** *** *** *** *** *** ***
6.135 2.535 17.252 2.591 6.935* 2.563 81.144 2.564 113.767 146.569 2.543
3 2.547
*** *** *** *** ** *** *** *** *** *** ***
3.929 11.169 4.458 62.339 77.289 100.69
4 0.806 0.887 0.795 1.015 1.038 1.055
*** *** *** *** *** ***

5.4. Discussion and Limitations of the Empirical Results

To sum up, we conduct a three-step analysis of cryptocurrencies versus sustainability indices
dynamics in this paper. The first step consists of an MMA as well as of the display of Hurst surfaces
and a subsequent conduction of CCDF-based powerlaw coherence tests. The MMA results in
q-dependent and unstable multifractality for the analysed series, however, it overall states the
existence of multifractal patterns in the data. The coherence tests imply existing powerlaws in the
series, while certain sets are nested in an exponential distribution, are defined otherwise or yield
fat-tails in some cases. Second, we calculate a novel MODWT-based MF-DCCA to elucidate
potentially existing cross-correlations between cryptocurrencies versus the stated indices. The
results imply strong powerlaw scaling as well as multifractal cross-correlations between the series
under analysis. Third, to analyse potential causations between the sets, we employ a nonlinear
Granger causality test, which results in a complex interrelation between some selected
cryptocurrencies and various indices. We can state existing causality and, thus, predictabilities
among the sets. In particular, we state ADA, HBAR, SOL, XCH, XLM, and XRP to exhibit a
significant causal relationship with the analysed indices.
To begin our formal discussion, Watorek et al. [11], find in most of their analysed cases that the
tails of return distributions of the regarded financial series to follow an inverse cubic powerlaw.
Regarding our findings given in Figure 2 paired with the metrics of Table 3, we can confirm that
the series under analysis mostly tend to follow some specification of a powerlaw. However, in our
cases the majority of series tend to follow an exponentially-nested powerlaw type of distribution.
In addition, we find based on the MMA that the multifractality is unstable and 𝑞-dependent. To be
more detailed, we find shifts between anti-persistent and strong persistent behaviour based on the
choice of 𝑞. Since the MMA is stated to be robust to noise, we only can hypothesise existing noise
containments to be responsible for these findings. Otherwise, it could be the existence of inherent
time-dependencies in the multifractal dynamics themselves. Additionally, however, we can
confirm existing findings in the literature, of small fluctuations being the persistent or multifractal
dominant part of the spectra or surfaces.

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Moreover, Watorek et al. [11] state that from the perspective of multi-scaling and multifractality,
the existing asymmetry of the singularity spectra to be left-sided, which implies the cause of the
multifractality being due to medium and larger-sized fluctuations of the data. For our analysed
data, we also observe left-sided asymmetric multifractal spectra. However, recent analyses imply
that maybe the asymmetry sidedness is owing to non-filtered noise in the data [9]. Thus, we deem
this kind of exploration as future gap. Furthermore, Wang et al. [5] find that the connectedness
among the analysed energy markets is stronger in the short-term compared to longer-termed time
periods.
Finally, regarding the nonlinear Granger causality, we can state that the predictability of our
analysed indices can be enhanced by regarding the cryptocurrencies, since certain causation have
been found. This, additionally, leads to the existence of heterogeneous and interlinked market
dynamics, which are out of scope for this study. Notwithstanding, we need to state that these
findings imply the requirement of an in-depth elucidation between the arising dynamics of the
sustainability and cryptocurrency interrelations.
Next, we aim to elucidate the controversy between ESG-based investment intentions versus the
extending existence of cryptocurrencies, especially, regarding the vast energy consumption of the
latter [45]. Contrastingly, the findings of Caiian et al. [45] state that on average, individuals with
stronger ESG-preferences tend to invest more often in cryptocurrency-based assets compared to
less-ESG conscious investors. Further, they find that the association between environmental
behaviours and cryptocurrency investments is of first-order, while, contrastingly, ESG-preferences
are not determining the respective portfolio exposure to either of the classes (i.e., ESG and
cryptocurrency-based investments) [45]. Nonetheless, the supply-side of cryptocurrencies is
working on developing low-ESG footprinted cryptocurrency products [45]. The sheer existence of
cryptocurrencies leads some authors to see these assets still as financial innovation, and, thus, as
an experiment [4]. This may be rooted in the fact that the majority of Bitcoin mining operations
are located in China and fuelled or being reliant on fossil sources of energy [4]. Notwithstanding,
the development of renewable energy-based cryptocurrencies is ongoing and will be a focal topic
in the future (e.g., see the crypto-climate-accord, CCA, inspired by the Paris Agreement) [4].
Finally, this study is not without limitations. First, we work with non-denoised series, which could
potentially lead to distortions in our analysis. Second, we could have regarded a broader variety of
cryptocurrencies and indices to gather a broader view of the markets. Lastly, we calculated
nonlinear Granger causes, yet, neglected potential cointegration analyses.

6. CONCLUDING REMARKS
To conclude our study, we find multifractal as well as cross-correlated market series in the context
of cryptocurrencies versus sustainable indices, which may imply serious policy indications. If the
regulators aim to shift towards environmentally friendly assets, cryptocurrencies and other
interrelated markets may be affected in a very complex manner. Therefore, we deem the in-depth
analysis of multifractal cross-market channels are future avenue of research.

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DECLARATIONS

Funding
The research presented in this paper was funded by the Ministry of Science, Technological
Development and Innovation of the Republic of Serbia under contract number 451-03-47/2023-
01/200005.

Competing Interests
The authors have no relevant competing and non-stated financial or non-financial interests to
disclose.

CRediT authorship contribution statement

Markus Vogl: Conceptualisation, Validation, Methodology, Formal analysis, Data Curation,

Writing – original draft

Milena Kojić: Conceptualisation, Validation, Methodology, Formal analysis, Data Curation,

Writing – original draft

Data Availability
The underlying datasets are available as open source online at the stated websites and sources.

Use of Artificial Intelligence Systems

The study has not been written by applying AI systems of any sort. There are no exceptions to
declare in terms of text-based AI usage such as ChatGPT in the context of manuscript originality.

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