Return volatility connectedness and portfolio strategies among sustainable assets with traditional counterparts and cryptocurrency: Insights from extreme markets

IF 1 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2025-09-01 DOI:10.1016/j.iimb.2025.100596

Satyaban Sahoo , Deepti Singh

引用次数: 0

Abstract

This study employs novel quantile time-frequency connectedness approach to explore the dynamic connectedness among sustainable assets (sustainable, green bond, and clean energy index), traditional assets (traditional index and crude oil), and cryptocurrency. This method assesses the impact of uncertain events on asset relationships. Findings indicate median connectedness of 36.94% in the short run and 4.81% in the long run, with short-term dynamics dominating system transmission. The traditional index is the primary transmitter of short-run shocks, while the green bond index leads in long-run shocks. Diversification across asset classes is recommended for effective hedging and optimal returns during extreme market conditions.

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可持续资产与传统同行和加密货币之间的回报波动性连通性和投资组合策略：来自极端市场的见解

本研究采用新颖的分位数时频连通性方法，探讨可持续资产（可持续、绿色债券和清洁能源指数）、传统资产（传统指数和原油）和加密货币之间的动态连通性。该方法评估不确定事件对资产关系的影响。研究结果表明，中位连通性在短期为36.94%，在长期为4.81%，短期动态主导系统传输。传统债券指数是短期冲击的主要传递者，而绿色债券指数是长期冲击的主要传递者。为了在极端市场条件下有效对冲和获得最佳回报，建议在资产类别之间进行多样化。

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

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.