Northampton Electronic Collection of Theses and Research

Energy cryptocurrencies: Assessing connectedness with other asset classes

Yousaf, I., Riaz, Y. and Goodell, J. W. (2023) Energy cryptocurrencies: Assessing connectedness with other asset classes. Finance Research Letters. 52 1544-6123.

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20607:62389
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Information
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.
Additional Information:
The authors assert that this paper is a product of genuine collaboration and is not published or under consideration elsewhere.
Uncontrolled Keywords:
Energy cryptocurrencies, Portfolio diversification, TVP-VAR, COVID-19, Russian-Ukraine war, WTI oil
Creators:
Yousaf, I., Riaz, Y. and Goodell, J. W.
Faculties, Divisions and Institutes:
Faculties > Faculty of Business & Law > Accounting & Finance
Date:
25 February 2023
Date Type:
Publication
Journal or Publication Title:
Finance Research Letters
Volume:
52
Language:
English
ISSN:
1544-6123
Status:
Published / Disseminated
Refereed:
Yes
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