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Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication

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  • Yousaf, Imran
  • Cui, Jinxin
  • Ali, Shoaib

Abstract

Using the novel TVP-VAR connectedness approach, we investigate the spillovers of return and volatility as well as the portfolio diversifications between green cryptocurrencies and green stocks. The empirical findings demonstrate that there are considerable return and volatility spillovers across green cryptocurrencies and stocks. Stock indices such as Alternative Energy, Sustainable World Index, and Pollution Prevention act as net transmitters whereas Green Building stock and green cryptocurrencies act as net recipients of return and volatility spillovers. Sustainable World Index and Pollution Prevention stocks spread relatively stronger net spillovers to other green stocks and cryptocurrencies. The overall spillover effects and hedging costs become higher during the COVID-19 pandemic and the Russia-Ukraine war. Utilizing green cryptocurrencies like Cardano and Stellar Lumens as hedges for green stocks can provide superior risk reduction effectiveness. Our findings can offer practical implications for investors, portfolio managers, and regulators in developing their optimal investment and risk management strategies.

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  • Yousaf, Imran & Cui, Jinxin & Ali, Shoaib, 2024. "Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    • Handle: RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006531
    DOI: 10.1016/j.iref.2024.103661
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    More about this item

    Keywords

    Green cryptocurrencies; Green stocks; TVP-VAR connectedness; Return and volatility spillovers; Hedging effectiveness;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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