Downside risk transmission between green cryptocurrencies and carbon efficient equities: Evidence from a frequency connectedness approach

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-03-08 DOI:10.1016/j.frl.2025.107149

Saad Alshammari , Marouene Mbarek , Fatma Mrad , Badreddine Msolli

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Abstract

This study combines the conditional autoregressive value at risk (CAViaR) model and the frequency time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to investigate the downside risk transmission between green cryptocurrencies and carbon-efficient equity markets. The research spans from February 6, 2018 to January 10, 2024, and underscores significant risk transmission within groups of the same category. Meanwhile, weak connections are observed between green cryptocurrencies and carbon-efficient equity markets, particularly in the long term, providing opportunities for diversification. Furthermore, tail risk transmission between these markets intensifies during market downturns and shocks, particularly in the short term, diminishing the effectiveness of hedging against risk spillovers. The portfolio analysis between pairs of green cryptocurrencies and carbon-efficient equities provides valuable insights for crypto managers and investors.

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绿色加密货币和碳效率股票之间的下行风险传导：来自频率连通性方法的证据

本研究结合了条件自回归风险值（CAViaR）模型和基于频率时变参数向量自回归（TVP-VAR）的连通性方法，研究了绿色加密货币与碳效率股票市场之间的下行风险传导。这项研究从2018年2月6日持续到2024年1月10日，并强调了同一类别群体内的重大风险传播。与此同时，绿色加密货币与碳效率高的股票市场之间的联系很弱，特别是从长期来看，这为多样化提供了机会。此外，在市场低迷和震荡期间，特别是在短期内，这些市场之间的尾部风险传导会加剧，从而降低了对冲风险溢出效应的有效性。绿色加密货币对和碳效率股票之间的投资组合分析为加密货币经理和投资者提供了有价值的见解。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance