IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v12y2024i1p2437002.html
   My bibliography  Save this article

Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs

Author

Listed:
  • Iulia Cristina Iuga
  • Raluca-Andreea Nerișanu
  • Larisa-Loredana Dragolea

Abstract

This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and CRB Index). Employing the diagonal BEKK model and the DCC GARCH model, the study spans data from February 17, 2020, to September 30, 2024, to analyze how cryptocurrencies, categorized by their environmental impact, influence these indices. The results reveal significant volatility spillovers from both clean and dirty cryptocurrencies, with clean cryptocurrencies such as Cardano showing a stabilizing effect, while dirty cryptocurrencies like Bitcoin exhibit more pronounced and asymmetric volatility impacts on green finance indices. Furthermore, the persistent correlations identified through the DCC GARCH model highlight the dynamic relationships between cryptocurrency markets and green finance, suggesting that shocks in cryptocurrency volatility can significantly affect the financial dynamics of renewable energy investments. These insights are valuable for portfolio diversification and risk management, indicating that certain cryptocurrencies may serve as effective hedging instruments against risks in green finance. This study contributes to a deeper understanding of the interaction between digital financial assets and sustainable investments, offering practical implications for investors, financial managers, and policymakers committed to achieving Sustainable Development Goals (SDGs).The significance of this research lies in its ability to bridge the emerging domains of cryptocurrency markets and green finance, offering a nuanced understanding of their dynamic interplay. By employing advanced econometric models, such as the diagonal BEKK and DCC GARCH, the study provides robust empirical evidence of the volatility spillovers between clean and dirty cryptocurrencies and their impact on green finance indices. This is particularly critical in an era where sustainable investment is becoming a cornerstone of global financial strategies, driven by the need to align economic activities with Sustainable Development Goals (SDGs). By addressing the interplay between digital financial innovations and green finance, this study contributes to the broader understanding of their implications for achieving Sustainable Development Goals (SDGs), offering practical insights for investors, policymakers, and financial managers focused on sustainable development.

Suggested Citation

  • Iulia Cristina Iuga & Raluca-Andreea Nerișanu & Larisa-Loredana Dragolea, 2024. "Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs," Cogent Economics & Finance, Taylor & Francis Journals, vol. 12(1), pages 2437002-243, December.
  • Handle: RePEc:taf:oaefxx:v:12:y:2024:i:1:p:2437002
    DOI: 10.1080/23322039.2024.2437002
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2024.2437002
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/23322039.2024.2437002?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:oaefxx:v:12:y:2024:i:1:p:2437002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.