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Downside risk transmission between green cryptocurrencies and carbon efficient equities: Evidence from a frequency connectedness approach

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  • Alshammari, Saad
  • Mbarek, Marouene
  • Mrad, Fatma
  • Msolli, Badreddine

Abstract

This study combines the conditional autoregressive value at risk (CAViaR) model and the frequency time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to investigate the downside risk transmission between green cryptocurrencies and carbon-efficient equity markets. The research spans from February 6, 2018 to January 10, 2024, and underscores significant risk transmission within groups of the same category. Meanwhile, weak connections are observed between green cryptocurrencies and carbon-efficient equity markets, particularly in the long term, providing opportunities for diversification. Furthermore, tail risk transmission between these markets intensifies during market downturns and shocks, particularly in the short term, diminishing the effectiveness of hedging against risk spillovers. The portfolio analysis between pairs of green cryptocurrencies and carbon-efficient equities provides valuable insights for crypto managers and investors.

Suggested Citation

  • Alshammari, Saad & Mbarek, Marouene & Mrad, Fatma & Msolli, Badreddine, 2025. "Downside risk transmission between green cryptocurrencies and carbon efficient equities: Evidence from a frequency connectedness approach," Finance Research Letters, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finlet:v:78:y:2025:i:c:s154461232500412x
    DOI: 10.1016/j.frl.2025.107149
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    References listed on IDEAS

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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