Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication

Imran Yousaf, Jinxin Cui and Shoaib Ali

International Review of Economics & Finance, 2024, vol. 96, issue PB

Abstract: Using the novel TVP-VAR connectedness approach, we investigate the spillovers of return and volatility as well as the portfolio diversifications between green cryptocurrencies and green stocks. The empirical findings demonstrate that there are considerable return and volatility spillovers across green cryptocurrencies and stocks. Stock indices such as Alternative Energy, Sustainable World Index, and Pollution Prevention act as net transmitters whereas Green Building stock and green cryptocurrencies act as net recipients of return and volatility spillovers. Sustainable World Index and Pollution Prevention stocks spread relatively stronger net spillovers to other green stocks and cryptocurrencies. The overall spillover effects and hedging costs become higher during the COVID-19 pandemic and the Russia-Ukraine war. Utilizing green cryptocurrencies like Cardano and Stellar Lumens as hedges for green stocks can provide superior risk reduction effectiveness. Our findings can offer practical implications for investors, portfolio managers, and regulators in developing their optimal investment and risk management strategies.

Keywords: Green cryptocurrencies; Green stocks; TVP-VAR connectedness; Return and volatility spillovers; Hedging effectiveness (search for similar items in EconPapers)
JEL-codes: C58 G12 G15 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056024006531
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006531

DOI: 10.1016/j.iref.2024.103661

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().