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Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war

Author

Listed:
  • Goodell, John W.
  • Yadav, Miklesh Prasad
  • Ruan, Junhu
  • Abedin, Mohammad Zoynul
  • Malhotra, Nidhi

Abstract

This paper analyses the connectedness among traditional assets, digital assets and renewable energy for extending the data from December 31, 2019 to January 2, 2023. For an empirical analysis, time varying parameter (TVP-VAR) is employed. We find that Chainlink (DeFi) is the highest receiver, while bitcoin is the highest transmitter of shocks to the network. Additionally, we also find that Non-Fungible Tokens (NFT) acts as the most suitable asset to be included in portfolio since it is least connected with rest of the examined assets classes. Results are important for investors and portfolio managers.

Suggested Citation

  • Goodell, John W. & Yadav, Miklesh Prasad & Ruan, Junhu & Abedin, Mohammad Zoynul & Malhotra, Nidhi, 2023. "Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war," Finance Research Letters, Elsevier, vol. 58(PA).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006955
    DOI: 10.1016/j.frl.2023.104323
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    Keywords

    Connectedness; Traditional asset; Digital asset; Diversification; Volatility; Renewable energy; Portfolio management; DeFi; NFT;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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