Downside risk transmission between green cryptocurrencies and carbon efficient equities: Evidence from a frequency connectedness approach

Saad Alshammari, Marouene Mbarek, Fatma Mrad and Badreddine Msolli

Finance Research Letters, 2025, vol. 78, issue C

Abstract: This study combines the conditional autoregressive value at risk (CAViaR) model and the frequency time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to investigate the downside risk transmission between green cryptocurrencies and carbon-efficient equity markets. The research spans from February 6, 2018 to January 10, 2024, and underscores significant risk transmission within groups of the same category. Meanwhile, weak connections are observed between green cryptocurrencies and carbon-efficient equity markets, particularly in the long term, providing opportunities for diversification. Furthermore, tail risk transmission between these markets intensifies during market downturns and shocks, particularly in the short term, diminishing the effectiveness of hedging against risk spillovers. The portfolio analysis between pairs of green cryptocurrencies and carbon-efficient equities provides valuable insights for crypto managers and investors.

Keywords: Carbon-efficient equities; Green cryptocurrencies; CAViaR; Frequency TVP-VAR; Tail risk transmission (search for similar items in EconPapers)
JEL-codes: C58 G11 G14 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:78:y:2025:i:c:s154461232500412x

DOI: 10.1016/j.frl.2025.107149

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