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
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Marouene Mbarek: ESPI2R - Laboratoire ESPI2R Research in Real Estate [Nantes] - ESPI - Ecole Supérieure des Professions Immobilières, LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Nantes Univ - IAE Nantes - Nantes Université - Institut d'Administration des Entreprises - Nantes - Nantes Université - pôle Sociétés - Nantes Univ - Nantes Université
Fatma Mrad: Clermont School of Business, France
Badreddine Msolli: ESSCA - ESSCA – École supérieure des sciences commerciales d'Angers = ESSCA Business School

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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 carbonefficient 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)
Date: 2025-05
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Published in Finance Research Letters, 2025, 78, pp.107149. ⟨10.1016/j.frl.2025.107149⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04993011

DOI: 10.1016/j.frl.2025.107149

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