Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications

【Author】 Abakah, Emmanuel Joel Aikins; Ullah, G. M. Wali; Adekoya, Oluwasegun B.; Bonsu, Christiana Osei; Abdullah, Mohammad

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】Since the emergence of blockchain technology, several digital assets such as cryptocurrencies, DeFi, and NFTs have gained considerable attention from investors and policymakers. However, the blockchain market has significant negative ramifications for the environment that may transmit shocks towards eco-friendly financial assets. We use the rolling window wavelet cor-relation (RWWC) model and the quantile-based time-varying (QVAR) connectedness framework to analyze the dynamic price correlation and connectedness between the blockchain market and green (eco-friendly) financial assets. As a representative of the blockchain market, we use the price returns of four cryptocurrencies, DeFi, and NFTs. For green equities, we use the MSCI Global Environment Price Index and the S&P Green Bond Price Index. We find a low correlation between the blockchain market and green financial assets before the outbreak of COVID-19 and a strong correlation during the COVID-19 and the Russia-Ukraine war. The quantile VAR results show symmetric connectedness of the examined and identical spillovers between extremely positive and strongly negative returns. Green bonds and stocks are the system's major shock receivers. The transmission network results imply major shock transmissions are driven by short-term fre-quency, whereas there is a lower transmission in the long-term.

【Keywords】DeFi; NFTs; Cryptocurrency; Wavelets correlation; Quantile VAR dependence

【发表时间】2023 SEP

【收录时间】2023-07-06

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