Spillover Nexus among Green Cryptocurrency, Sectoral Renewable Energy Equity Stock and Agricultural Commodity: Implications for Portfolio Diversification

Economics, Journal Year: 2025, Volume and Issue: 19(1)

Published: Jan. 1, 2025

Abstract In recent decades, the rising challenges posed by climate change have prompted investors to take a keen interest in green assets and incorporate them into their portfolios achieve optimal returns. Therefore, this article explores static dynamic connectedness between renewable energy stocks (solar, wind, geothermal), cryptocurrencies (Stellar, Nano, Cardona, IOTA), agricultural commodities (wheat, cocoa, coffee, corn, cotton, sugar, soybean) using TVP-VAR (time-varying parameter vector autoregression) framework offering novel empirical evidence for portfolio managers. The is examined across two distinct sub-samples: during COVID-19 post-COVID-19 times. Because relevant can implications diversification benefits, we proceed with computation of weights, hedge ratios, effectiveness DCC-GARCH model. main findings are as follows: We first find that particularly Cardona Stellar exhibit highest spillovers network wind stock has least other markets. Second, NET spillover indices reveal coffee consistently net receivers over entire period except beginning pandemic. Third, diverse positions implying impact pandemic varied significantly sectors. Finally, commodity depicts greater weights under scoring benefit diversified consisting agriculture assets.

Language: Английский

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Risk connectedness and portfolios between fossil energy, new energy and environmental governance markets

International Review of Financial Analysis, Journal Year: 2025, Volume and Issue: unknown, P. 104234 - 104234

Published: April 1, 2025

Language: Английский

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Unravelling Interconnectedness and Dynamic Behaviour in Financial Networks: Insights from Asset Analysis

Global Business Review, Journal Year: 2025, Volume and Issue: unknown

Published: May 16, 2025

The increasing focus on sustainability in financial markets has led to a heightened interest understanding the interconnectedness of various asset classes, particularly those related blue and green economies. This study aims measure spillover relationships between four blue-economy indexes green-economy alongside Bitcoin Gold. We utilize an innovative quantile frequency connectedness analysis explore interplay dynamics across these diverse markets. Our is based data covering period from 10th October 2021 5th January 2024. findings reveal significant effects among selected indexes, indicating that both assets exhibit distinct yet interrelated behaviours response market changes. These results underscore importance integrating insights economies into investment strategies, offering valuable implications for risk management portfolio optimization increasingly complex landscape.

Language: Английский

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Cross-market volatility dynamics in crypto and traditional financial instruments: quantifying the spillover effect

The Journal of Risk Finance, Journal Year: 2024, Volume and Issue: unknown

Published: Nov. 29, 2024

Purpose This paper examines the volatility spillover effects from traditional financial assets to cryptocurrency markets and vice versa. It aims provide insights into dynamic interconnectedness of these markets. Design/methodology/approach employs time-varying parameter vector autoregression technique examine among crypto (across leading cryptocurrencies such as Bitcoin (BTC), USD Tether, NEAR Protocol (NEAR), Immutable Dogecoin) instruments (Treasury Bills (TBILL) Volatility Index). Findings The results reveal significant bidirectional spillovers between assets. BTC act a major transmitter volatility, both influencing others significantly (71.63 68.17%, respectively) being influenced by (54.74 62.3%, respectively). TBILL Grayscale Trust ETF are largest net receivers indicating higher dependency on other assets’ volatility. Practical implications Understanding dynamics can aid investors in portfolio diversification risk management. findings actionable for constructing portfolios that include assets, allowing more informed investment decisions under volatile market conditions. Originality/value contributes literature analyzing various cryptocurrencies. offers framework assessing how shocks one or propagate others, thereby enhancing understanding improves our ability manage modern portfolios, which increasingly alternative like

Language: Английский

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Cross-Market Volatility Dynamics in Crypto and Traditional Financial Instruments: Quantifying the Spillover Effect

SSRN Electronic Journal, Journal Year: 2024, Volume and Issue: unknown

Published: Jan. 1, 2024

Language: Английский

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