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Energy cryptocurrencies: Assessing connectedness with other asset classes

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  • Yousaf, Imran
  • Riaz, Yasir
  • Goodell, John W.

Abstract

We investigate connectedness between energy cryptocurrencies and common asset classes, including oil, using TVP-VAR modeling, evidencing that energy cryptocurrencies, as diversifiers, normally have strong connections with bitcoin and nothing else. However, their connectedness to other assets changes rapidly during shocks such as COVID-19 and the start of the Russian-Ukraine war. Connectedness spiked in April 2020, when WTI oil prices fell to negative pricing. Economic policy uncertainty, Twitter-based uncertainty, and infectious disease-related uncertainty all have significant impact on the system's total connectedness. Energy cryptocurrencies, while normally diversifiers, are highly sensitive to shocks and changes in uncertainty.

Suggested Citation

  • Yousaf, Imran & Riaz, Yasir & Goodell, John W., 2023. "Energy cryptocurrencies: Assessing connectedness with other asset classes," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005669
    DOI: 10.1016/j.frl.2022.103389
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    Cited by:

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    2. Aharon, David Y. & Alon, Ilan & Vakhromov, Oleg, 2024. "Metaverse tokens or metaverse stocks – Who’s the boss?," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Yousaf, Imran & Abrar, Afsheen & Yousaf, Umair Bin & Goodell, John W., 2024. "Environmental attention and uncertainties of cryptocurrency market: Examining linkages with crypto-mining stocks," Finance Research Letters, Elsevier, vol. 59(C).
    4. Patel, Ritesh & Gubareva, Mariya & Chishti, Muhammad Zubair, 2024. "Assessing the connectedness between cryptocurrency environment attention index and green cryptos, energy cryptos, and green financial assets," Research in International Business and Finance, Elsevier, vol. 70(PA).
    5. Abrar, Afsheen & Naeem, Muhammad Abubakr & Karim, Sitara & Lucey, Brian M. & Vigne, Samuel A., 2024. "Shining in or fading out: Do precious metals sparkle for cryptocurrencies?," Resources Policy, Elsevier, vol. 90(C).
    6. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran & Li, Yanshuang, 2023. "Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach," Energy Economics, Elsevier, vol. 127(PA).
    7. Ali, Shoaib & Naveed, Muhammad & Youssef, Manel & Yousaf, Imran, 2024. "FinTech-powered integration: Navigating the static and dynamic connectedness between GCC equity markets and renewable energy cryptocurrencies," Resources Policy, Elsevier, vol. 89(C).
    8. Gunay, Samet & Altınkeski, Buket Kırcı & Ismail Çevik, Emrah & Goodell, John W., 2023. "Quantifying systemic risk in the cryptocurrency market: A sectoral analysis," Finance Research Letters, Elsevier, vol. 58(PC).
    9. Patel, Ritesh & Goodell, John W. & Chishti, Muhammad Zubair, 2023. "Assessing connectedness of transportation cryptocurrencies and transportation stocks: Evidence from wavelet quantile correlation," Finance Research Letters, Elsevier, vol. 58(PC).
    10. Yousaf, Imran & Assaf, Ata & Demir, Ender, 2024. "Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach," Research in International Business and Finance, Elsevier, vol. 69(C).

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    More about this item

    Keywords

    Energy cryptocurrencies; Portfolio diversification; TVP-VAR; COVID-19; Russian-Ukraine war; WTI oil;
    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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