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Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty

Author

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  • Wang, Jying-Nan
  • Vigne, Samuel A.
  • Liu, Hung-Chun
  • Hsu, Yuan-Teng

Abstract

We examine jump, positive-jump, negative-jump, and co-jump behaviors in brown (energy-intensive) and green (energy-efficient) cryptocurrency markets. We further investigate how the newly proposed energy-related uncertainty index (EUI) correlates with jumps and co-jumps of these two types of cryptocurrencies. Our results show that jumps have decreased in recent years, signaling an improvement in market efficiency. Brown cryptocurrencies are more likely to jump than green cryptocurrencies, especially in negative jumps. When more than two cryptocurrencies experienced jumps concurrently, most co-jumps were in a negative direction (80%), with a large proportion being contributed by brown cryptocurrencies (61.7%). Finally, the higher the level of EUI, the higher (lower) the likelihood of a positive (negative) jump in brown (green) cryptocurrencies; however, co-jumps' likelihood is positively correlated with EUI for only brown cryptocurrencies. These results provide crucial insights into revealing jump dynamics, guiding tail risk, and linking energy-related uncertainty to jump behavior in brown and green cryptocurrency markets.

Suggested Citation

  • Wang, Jying-Nan & Vigne, Samuel A. & Liu, Hung-Chun & Hsu, Yuan-Teng, 2024. "Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty," Energy Economics, Elsevier, vol. 138(C).
    • Handle: RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005553
    DOI: 10.1016/j.eneco.2024.107847
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    More about this item

    Keywords

    Cryptocurrency; Jumps; Co-jumps; Energy uncertainty; Sustainable cryptocurrency;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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