From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets

Shoaib Ali, Muhammad Naveed, Imran Yousaf and Muhammad Sualeh Khattak

Finance Research Letters, 2024, vol. 60, issue C

Abstract: Based on TVP-VAR technique, this study examines the return and volatility spillover between green cryptocurrencies and G7 equity markets. The static connectedness measure posits that green cryptocurrencies function as receivers of return and volatility spillovers from G7 markets. The analysis of dynamic connectedness reflects a spike in total return and volatility spillovers during market stress and uncertainty. Furthermore, we estimate the optimal portfolio weights and hedge ratios for all pairs of green cryptocurrency and stock markets, implying critical insights for policymakers, hedge fund managers, and portfolio management professionals.

Keywords: G7; Green cryptos; TVP-VAR; Portfolio diversification (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012710

DOI: 10.1016/j.frl.2023.104899

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