Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2024-09-26 DOI:10.1016/j.iref.2024.103661

Imran Yousaf , Jinxin Cui , Shoaib Ali

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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.

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绿色加密货币与股票之间的动态溢出效应：投资组合的含义

我们采用新颖的 TVP-VAR 关联性方法，研究了绿色加密货币和绿色股票之间的回报率和波动率溢出效应以及投资组合多样化。实证研究结果表明，绿色加密货币和股票之间存在相当大的收益率和波动率溢出效应。替代能源、可持续世界指数和污染防治等股票指数是净传播者，而绿色建筑股票和绿色加密货币则是回报和波动溢出效应的净接受者。可持续世界指数和污染防治股票对其他绿色股票和加密货币的净溢出效应相对较强。在 COVID-19 大流行和俄乌战争期间，整体溢出效应和对冲成本会更高。利用 Cardano 和 Stellar Lumens 等绿色加密货币作为绿色股票的对冲工具，可以提供卓越的风险降低效果。我们的研究结果可为投资者、投资组合经理和监管机构制定最佳投资和风险管理策略提供实际意义。

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

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.