Between Cryptocurrencies' Risk and Crypto Environmental Attention: The Crypto Environment Attention Index and Volatility in the Cryptocurrencies Market Nexus

ABSTRACT This study investigates the impact of environmental attention on cryptocurrency market volatility by introducing the Crypto Environmental Attention Index (CEAI), a new metric inspired by Wang et al. (2022) and constructed using daily web search data. Environmental concerns can significantly impact the popularity and volatility of cryptocurrencies, influencing risk perceptions, and shaping market dynamics. Using vector autoregression (VAR), vector error correction models (VECM), and Granger causality tests on data from 2014 to 2022, the study finds that Ethereum's volatility is strongly influenced by the CEAI in both the short and long‐term, whereas Bitcoin volatility has a short‐term unidirectional effect on environmental attention and a bidirectional relationship in the long term. This study is situated within a broader economic framework of sustainable finance, the transition to greener blockchain technologies, and regulatory responses to environmental issues. It offers actionable insights for risk management, policy formulation, and cryptocurrency valuation using environmental, social, and governance (ESG) criteria.