Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19

Zijian Li and Qiaoyu Meng

The North American Journal of Economics and Finance, 2022, vol. 59, issue C

Abstract: The assessment of the time and frequency connectedness between cryptocurrencies and renewable energy stock markets is of key interest for portfolio diversification. In this paper, we utilize weekly data from 07 August 2015 to 26 March 2021 to document the dynamics and portfolio diversification from a fresh cryptocurrencies-renewable energy perspective. Our time-frequency domain spillovers results reveal that renewable energy stocks are the main spillover contributors in the connectedness system and the short-run spillovers dominate their long-run counterparts. Furthermore, investors can gain more profits through short-run transactions in our portfolio design and we can optimize portfolios by investing a large portion in cryptocurrencies. A fascinating fact is that the COVID-19 pandemic can reverse the effectiveness of our hedging strategy.

Keywords: Connectedness; Portfolio diversification; Cryptocurrencies; Renewable energy; COVID-19 (search for similar items in EconPapers)
JEL-codes: C20 C22 G10 G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001728

DOI: 10.1016/j.najef.2021.101565

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