Energy cryptocurrencies: Assessing connectedness with other asset classes

Imran Yousaf, Yasir Riaz and John W. Goodell

Finance Research Letters, 2023, vol. 52, issue C

Abstract: We investigate connectedness between energy cryptocurrencies and common asset classes, including oil, using TVP-VAR modeling, evidencing that energy cryptocurrencies, as diversifiers, normally have strong connections with bitcoin and nothing else. However, their connectedness to other assets changes rapidly during shocks such as COVID-19 and the start of the Russian-Ukraine war. Connectedness spiked in April 2020, when WTI oil prices fell to negative pricing. Economic policy uncertainty, Twitter-based uncertainty, and infectious disease-related uncertainty all have significant impact on the system's total connectedness. Energy cryptocurrencies, while normally diversifiers, are highly sensitive to shocks and changes in uncertainty.

Keywords: Energy cryptocurrencies; Portfolio diversification; TVP-VAR; COVID-19; Russian-Ukraine war; WTI oil (search for similar items in EconPapers)
JEL-codes: C58 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322005669
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005669

DOI: 10.1016/j.frl.2022.103389

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().