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Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices

Author

Listed:
  • Batra, Shallu
  • Tiwari, Aviral Kumar
  • Yadav, Mahender
  • Danso, Albert

Abstract

This study examines the impact of cryptocurrency uncertainty indices on green bonds, currency, and commodity markets by using weekly data from January 1, 2014, to December 30, 2022. The study analyzes such relationships employing the time-varying robust Granger-Causality test coupled with the TVP-VAR-DY approach. The empirical findings unfold the heterogeneous effects of uncertainty indices toward diverse financial instruments pronounced during financial or economic turbulence. The DY approach indicates that total connectedness among financial assets varies significantly over time. The green bond market is the net receiver, while ishares Global Clean Energy ETF (ICLN) and VanEck Low Carbon Energy ETF (SMOG) indices transmit the shocks for the whole period. The findings suggest that holdings in the green bond market after the health crisis offer greater hedging opportunities to investors. The results have significant ramifications for financing, hedging, and policymaking.

Suggested Citation

  • Batra, Shallu & Tiwari, Aviral Kumar & Yadav, Mahender & Danso, Albert, 2025. "Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices," Technological Forecasting and Social Change, Elsevier, vol. 210(C).
    • Handle: RePEc:eee:tefoso:v:210:y:2025:i:c:s0040162524006723
    DOI: 10.1016/j.techfore.2024.123874
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    Keywords

    Connectedness; Cryptocurrency; Green bond; Commodity; Currency market; Uncertainty indices;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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