Energy cryptocurrencies: Assessing connectedness with other asset classes

【Author】 Yousaf, Imran; Riaz, Yasir; Goodell, John W.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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.

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

【发表时间】2023 MAR

【收录时间】2023-05-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币