Spillover and return connectedness between uncertainties, digital assets, green bond, green and traditional energy markets: Evidence from quantile VAR

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-09-13 DOI:10.1016/j.najef.2025.102538

Rana Muhammad Nasir , Feng He , Mehrad Asadi , David Roubaud

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引用次数: 0

Abstract

This study investigates the extreme connectedness and spillover transmission between cryptocurrencies, digital assets, green bonds, traditional and green energy markets against different uncertainties from July 2, 2018, to February 3, 2023. First, we employ Quantile VAR to unveil extreme connectedness among markets. Further, Baruník and Křehlík (BK) framework is used to understand time frequency spillover transmission across our chosen markets. Our results indicate that spillover magnitude under bullish market conditions is higher than normal and bearish market conditions. In addition, the equity market volatility, geopolitical risk, Twitter-based economic risk, and oil markets are the major receiver of spillover across all market conditions. In contrast, NFTs and Defis are the significant transmitters of spillover across all quantiles. Similarly, natural gas and green bonds act as spillover transmitters under extreme quantiles. While, green energy and cryptocurrencies are net transmitters in only bearish market conditions. Based on these findings, this study proposed several important implications for investors, financial markets participants, portfolio managers and market regulators in terms of diversifying their risk and design effective market regulation policies.

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不确定性、数字资产、绿色债券、绿色和传统能源市场之间的溢出和回报连通性：来自分位数VAR的证据

本研究调查了2018年7月2日至2023年2月3日不同不确定性下加密货币、数字资产、绿色债券、传统和绿色能源市场之间的极端连通性和溢出传导。首先，我们使用分位VAR来揭示市场之间的极端联系。此外，Baruník和Křehlík （BK）框架用于理解我们所选市场的时频溢出传输。我们的研究结果表明，牛市条件下的溢出幅度高于正常和看跌市场条件。此外，股票市场波动、地缘政治风险、基于twitter的经济风险和石油市场是所有市场条件下溢出效应的主要接受者。相反，nft和赤字是所有分位数溢出效应的重要传导因素。同样，天然气和绿色债券在极端分位数下充当溢出效应的传导器。而绿色能源和加密货币只有在看跌的市场条件下才是净发射器。基于这些发现，本研究对投资者、金融市场参与者、投资组合经理和市场监管机构在分散风险和设计有效的市场监管政策方面提出了几点重要启示。

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.