Assessing the linkage of energy cryptocurrency with clean and dirty energy markets

Muhammad Abubakr Naeem, Afzol Husain, Ahmed Bossman and Sitara Karim

Energy Economics, 2024, vol. 130, issue C

Abstract: The primary objective of this study is to explore the dynamic connectedness that exists among energy cryptocurrencies, clean energy metals, and conventional dirty energies. Moreover, we aim to investigate the time-varying effects of uncertainties on the connectedness that exists among these asset classes. We uncover heterogeneous reactions among energy cryptocurrencies and other assets. Common positive co-movement clustering is revealed mostly during the periods of the cryptocurrency crash and boom in 2018 and 2020, and the oil market crash, respectively. However, a constant weak and strong co-movement over shorter and longer horizons is observed throughout the sample period for all pairs analysed, with varying outcomes for longer horizons. Combining VIX and US EPU as measures of financial and economic uncertainty, we contend that uncertainty significantly affects energy cryptocurrencies, clean and dirty energies, and clean energy metals, with relatively weak impacts or influences observed for longer investment horizons. Our findings are highly beneficial to cryptocurrency investors, alternative asset investors, and policy makers, especially during periods of market turmoil.

Keywords: Cryptocurrency; Clean energy; Alternative energy; Wavelet; Uncertainty (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007776

DOI: 10.1016/j.eneco.2023.107279

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