Unveiling the crypto-green nexus: A risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-09-13 DOI:10.1016/j.najef.2024.102289

Ritesh Patel , Sanjeev Kumar , Shalini Agnihotri

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Abstract

This study focuses to examine the connectedness among the Green Investments, NFTs, DeFis & Green Cryptocurrencies, along with the portfolio diversification and hedging potential of the Green Investment against the other investments. We examined the connectedness using the Quantile VAR and Wavelet Quantile Correlation method, indicating the existence of the partial connectedness among the selected assets. The connectedness among the assets changes due to change in global uncertainty caused by Covid-19 and Russia-Ukraine war. The green investment offers the hedging benefits to other green investment. Among all crypto assets, Dai serve as a good hedge for the green investment and other crypto assets. MCoP is best performing portfolio with Sharpe ratio, followed by MCP. However, the investment as per MCoP and MCP approaches increases the volatility of green assets. Further, the hedging benefits are varying with the changing global dynamics. None of the approach gives positive cumulative return and Sharpe ratio to the investors during the Russia-Ukraine war period. Our study has implications for the investors and portfolio managers with respect to portfolio framing and fund allocation.

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揭开加密货币与绿色关系的神秘面纱：从 NFT、DeFis、绿色加密货币和绿色投资的角度看风险管理和投资战略方法

本研究重点考察绿色投资、NFTs、DeFis & 绿色加密货币之间的关联性，以及绿色投资相对于其他投资的投资组合多样化和对冲潜力。我们使用量子 VAR 和小波量子相关性方法对关联性进行了检验，结果表明所选资产之间存在部分关联性。由于科维德-19 和俄乌战争导致全球不确定性的变化，资产之间的关联性也随之变化。绿色投资为其他绿色投资提供了对冲效益。在所有加密资产中，Dai 是绿色投资和其他加密资产的良好对冲工具。MCoP 是夏普比率表现最好的投资组合，其次是 MCP。然而，按照 MCoP 和 MCP 方法进行投资会增加绿色资产的波动性。此外，对冲效益也随着全球动态的变化而变化。在俄乌战争期间，没有一种方法能给投资者带来正的累计收益和夏普比率。我们的研究对投资者和投资组合经理在投资组合框架和资金分配方面具有启示意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.