On the dynamic return and volatility connectedness of cryptocurrency, crude oil, clean energy, and stock markets: a time-varying analysis

【Author】 Attarzadeh, Amirreza; Balcilar, Mehmet

【Source】ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH

【影响因子】5.190

【Abstract】The high energy consumption of cryptocurrency transactions has raised concerns about the environment and sustainability among green investors and regulatory authorities. The current study examines the connectedness among clean energy, Bitcoin, the stock market, and crude oil empirically. The time-varying parameter vector autoregression (TVP-VAR) is used to estimate the dynamics of connectedness in a daily dataset spanning the period November 11, 2013 to September 30, 2021. We find that the clean energy and traditional stock markets transmit shocks to Bitcoin and oil in terms of return, and they receive shocks in terms of volatility from Bitcoin and oil. Additionally, Bitcoin and other financial markets are only tenuously linked during non-crisis periods. Nonetheless, their connection strengthens substantially during times of crisis, such as the great cryptocurrency crash of 2018 and the COVID-19 pandemic of 2020. We believe that these findings can help explain how clean energy and cryptocurrency markets are linked during times of crisis.

【Keywords】Cryptocurrency; Bitcoin; Clean energy; TVP-VAR; Dynamic connectedness; Realized volatility

【发表时间】

【收录时间】2022-05-07

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币