Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty

Jying-Nan Wang, Samuel A. Vigne, Hung-Chun Liu and Yuan-Teng Hsu

Energy Economics, 2024, vol. 138, issue C

Abstract: We examine jump, positive-jump, negative-jump, and co-jump behaviors in brown (energy-intensive) and green (energy-efficient) cryptocurrency markets. We further investigate how the newly proposed energy-related uncertainty index (EUI) correlates with jumps and co-jumps of these two types of cryptocurrencies. Our results show that jumps have decreased in recent years, signaling an improvement in market efficiency. Brown cryptocurrencies are more likely to jump than green cryptocurrencies, especially in negative jumps. When more than two cryptocurrencies experienced jumps concurrently, most co-jumps were in a negative direction (80%), with a large proportion being contributed by brown cryptocurrencies (61.7%). Finally, the higher the level of EUI, the higher (lower) the likelihood of a positive (negative) jump in brown (green) cryptocurrencies; however, co-jumps' likelihood is positively correlated with EUI for only brown cryptocurrencies. These results provide crucial insights into revealing jump dynamics, guiding tail risk, and linking energy-related uncertainty to jump behavior in brown and green cryptocurrency markets.

Keywords: Cryptocurrency; Jumps; Co-jumps; Energy uncertainty; Sustainable cryptocurrency (search for similar items in EconPapers)
JEL-codes: C14 C22 G14 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005553

DOI: 10.1016/j.eneco.2024.107847

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