Rana Muhammad Nasir , Feng He , Mehrad Asadi , David Roubaud
{"title":"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","authors":"Rana Muhammad Nasir , Feng He , Mehrad Asadi , David Roubaud","doi":"10.1016/j.najef.2025.102538","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102538"},"PeriodicalIF":3.9000,"publicationDate":"2025-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Spillover and return connectedness between uncertainties, digital assets, green bond, green and traditional energy markets: Evidence from quantile VAR\",\"authors\":\"Rana Muhammad Nasir , Feng He , Mehrad Asadi , David Roubaud\",\"doi\":\"10.1016/j.najef.2025.102538\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":\"81 \",\"pages\":\"Article 102538\"},\"PeriodicalIF\":3.9000,\"publicationDate\":\"2025-09-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940825001780\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825001780","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Spillover and return connectedness between uncertainties, digital assets, green bond, green and traditional energy markets: Evidence from quantile VAR
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.
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.