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ESG, clean cryptocurrencies, and renewable energy tokens: Asymmetric connectedness and portfolio applications

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  • Ustaoglu, Erkan

Abstract

The aim of the study is to investigate the asymmetric connectedness and portfolio applications among ESG ETFs, clean cryptocurrencies, and renewable energy tokens. The findings reveal that these asset classes have different market dynamics and that their interconnectedness increases significantly during crisis periods. ESG ETFs offer a diversification benefit due to their low interconnectedness, while this benefit is even higher for renewable energy tokens. Asymmetric interconnectedness analysis reveals that interconnectedness is more pronounced during negative market periods. In binary portfolio applications, portfolios designed with optimal weights provide higher risk mitigation compared to portfolios based on hedge ratios. In terms of multivariate portfolio techniques, the MVP strategy performs best in hedge efficiency, while the MCoP technique offers high Sharpe ratios on positive returns and high returns on cumulative returns. The results also provide valuable insights on how to integrate and optimize sustainable investment instruments in financial markets.

Suggested Citation

  • Ustaoglu, Erkan, 2026. "ESG, clean cryptocurrencies, and renewable energy tokens: Asymmetric connectedness and portfolio applications," Research in International Business and Finance, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:riibaf:v:81:y:2026:i:c:s0275531925004179
    DOI: 10.1016/j.ribaf.2025.103161
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