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Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine

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  • Patel, Ritesh
  • Kumar, Sanjeev
  • Bouri, Elie
  • Iqbal, Najaf

Abstract

Motivated by the recent bifurcation between environmental-friendly and non-friendly cryptocurrencies, we examine the spillovers between Green-Dirty cryptocurrencies and socially responsible investments (SRI) during the war in Ukraine. We find significant changes in the connectedness between pre- and during-war scenarios. The magnitude of spillovers and respective roles of each crypto and SRI evolve during the war. Ethereum is consistently an essential player in the return and volatility shock transmission. Interestingly, the SRIs and green cryptocurrencies switch roles between the receiver and transmitter of shocks more frequently. The results offer important implications for socially responsible investors, portfolio managers, and other financial market participants.

Suggested Citation

  • Patel, Ritesh & Kumar, Sanjeev & Bouri, Elie & Iqbal, Najaf, 2023. "Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 143-162.
    • Handle: RePEc:eee:reveco:v:87:y:2023:i:c:p:143-162
    DOI: 10.1016/j.iref.2023.04.013
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    1. Wu, Xinyu & Yin, Xuebao & Umar, Zaghum & Iqbal, Najaf, 2023. "Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    2. Kamal, Md Rajib & Wahlstrøm, Ranik Raaen, 2023. "Cryptocurrencies and the threat versus the act event of geopolitical risk," Finance Research Letters, Elsevier, vol. 57(C).

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    More about this item

    Keywords

    Green cryptocurrencies; Dirty cryptocurrencies; Socially responsible investments; War in Ukraine; TVP-VAR return And volatility connectedness;
    All these keywords.

    JEL classification:

    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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