FinTech-powered integration: Navigating the static and dynamic connectedness between GCC equity markets and renewable energy cryptocurrencies

Shoaib Ali, Muhammad Naveed, Manel Youssef and Imran Yousaf

Resources Policy, 2024, vol. 89, issue C

Abstract: This study examines the static and dynamic connectedness between renewable energy cryptocurrencies and the GCC stock market using the TVP-VAR and DCC-GARCH approaches. Our findings indicate a significant connectedness between the GCC stock markets and energy cryptocurrencies. Moreover, the total connectedness is higher during COVID-19 than pre-COVID-19, highlighting the heightened sensitivity to extreme events within the financial system. The energy cryptocurrencies act as net receivers of return spillovers, while GCC stock markets predominantly act as net transmitters in the overall interconnectedness framework. Our findings imply that adding energy cryptocurrencies to stock portfolios can mitigate risk and optimize portfolio performance. The findings also indicate that energy cryptocurrencies offer a potential diversification avenue and can act as a hedge during periods of higher market uncertainty. The hedging ratios are low, implying the relatively low cost of hedging risks of portfolio stocks through energy cryptocurrencies. These insights provide valuable guidance for investors and policymakers regarding portfolio management, hedging, and financial markets' stability.

Keywords: Energy cryptocurrencies; FinTech; GCC; Portfolio diversification (search for similar items in EconPapers)
JEL-codes: C40 G10 G12 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420723013028

DOI: 10.1016/j.resourpol.2023.104591

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