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From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets

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  • Ali, Shoaib
  • Naveed, Muhammad
  • Yousaf, Imran
  • Khattak, Muhammad Sualeh

Abstract

Based on TVP-VAR technique, this study examines the return and volatility spillover between green cryptocurrencies and G7 equity markets. The static connectedness measure posits that green cryptocurrencies function as receivers of return and volatility spillovers from G7 markets. The analysis of dynamic connectedness reflects a spike in total return and volatility spillovers during market stress and uncertainty. Furthermore, we estimate the optimal portfolio weights and hedge ratios for all pairs of green cryptocurrency and stock markets, implying critical insights for policymakers, hedge fund managers, and portfolio management professionals.

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  • Ali, Shoaib & Naveed, Muhammad & Yousaf, Imran & Khattak, Muhammad Sualeh, 2024. "From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets," Finance Research Letters, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012710
    DOI: 10.1016/j.frl.2023.104899
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    Keywords

    G7; Green cryptos; TVP-VAR; Portfolio diversification;
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