Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war

John W. Goodell, Miklesh Prasad Yadav, Junhu Ruan, Mohammad Zoynul Abedin and Nidhi Malhotra

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: This paper analyses the connectedness among traditional assets, digital assets and renewable energy for extending the data from December 31, 2019 to January 2, 2023. For an empirical analysis, time varying parameter (TVP-VAR) is employed. We find that Chainlink (DeFi) is the highest receiver, while bitcoin is the highest transmitter of shocks to the network. Additionally, we also find that Non-Fungible Tokens (NFT) acts as the most suitable asset to be included in portfolio since it is least connected with rest of the examined assets classes. Results are important for investors and portfolio managers.

Keywords: Connectedness; Traditional asset; Digital asset; Diversification; Volatility; Renewable energy; Portfolio management; DeFi; NFT (search for similar items in EconPapers)
JEL-codes: C58 G11 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)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006955

DOI: 10.1016/j.frl.2023.104323

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