Dynamic Transmissions Between Green and Technology Stocks, ETFs, Commodities, Crypto and Fiat Currencies Throughout the Global Turbulences.

Abstract

This paper explores the volatility transmissions between the green and technology stocks, Exchange Trade Funds (ETF`s), commodities, fiat and crypto currencies by employing novel and optimized extensions of the Time Varying Parameter Vector Auto Regression (TVP-VAR) method combined with a Granger causality test to explore the contemporary dynamics and transformations of the dependencies across different markets throughout the global crisis. Results indicate that around %59 of the total forecast error variance can be attributed to the transmissions inside the selected network of variables and identify the investment banking ETF`s and Nasdaq Financial Technology index (KFTX) as the most significant net transmitters, and the New York Stock Exchange Energy (NYE), S&P 500 Information Technology (SPLRCT), and New York Stock Exchange Market Composite Technology (XIT) indices as the most important net receivers. In addition, findings underscore the substantial hedging potentials of the commodities, crypto and fiat currencies, and conclude that total dynamic transmission is primarily driven by the short-term component and intensely influenced by the global crises.