Motivated by lack of empirical research on volatility linkages among clean-energy stock markets and fossil fuel markets during the recent Covid-19 pandemic, the study examines the volatility ...connectedness network among clean-energy stocks and fossil fuels such as crude WTI, natural gas, gas oil, and fuel oil. In addition, we also compare the influence of financial crises such as the Global Financial Crisis (GFC), oil crisis, and Covid-19 pandemic crisis is driving the volatility connectedness network of energy markets. We apply Diebold and Yilmaz (2012) 1 time-domain and Barunik and Krehlik (Baruník and Křehlík, 2018) 2 frequency-domain approach. The empirical results uncover weak volatility connections among clean-energy stocks and fossil fuel markets. Meanwhile, we find strong volatility interconnectedness between petroleum markets. Further, the results show that most of the volatility spillovers among energy markets persist in the short-run, whereas the findings display weak volatility transmission among the sample markets in the long run. Furthermore, the findings also unveil that contagion effects between the energy markets increase in the crisis periods, intensifying the volatility interlinkages among the sample energy markets. The findings have important significance for energy policymakers and investors.
•The study examines the volatility connectedness network among clean-energy stocks and fossil fuels.•The study uses time-domain and frequency-domain approaches.•The results uncover weak volatility connections among clean-energy stocks and fossil fuel markets.•Contagion effects between the underlying markets increase in crisis periods.•The findings of the study hold significant implications for energy policy and investment.
Purpose>This study aims to examine the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021. Moreover, the impact of global factors on the ...connectedness of given financial markets is also observed.Design/methodology/approach>This study first employed the time-varying parameter vector autoregressions (TVP-VAR) technique to explore the connectedness of markets. Second, This study utilized the wavelet coherence analysis to test the time-frequency impact of global factors in terms of implied volatilities of stock, oil, gold, currency and bond on the connectedness across financial markets.Findings>This study finds Islamic stocks, sustainability index and S&P500 composite index are the net transmitters, whereas Sukuk, commodity index, bond market, clean energy and green bonds are the net recipient of spillovers. Time-varying features of green, Islamic and conventional financial markets are evident in system-wide connectedness. This study further evidenced that global factors drive the connectedness of financial markets, particularly during stressful times.Practical implications>The findings of this study furnish significant implications for policymakers, regulatory authorities, investors, financial market participants and portfolio managers in terms of carefully assessing the unique characteristics offered by each financial market in terms of risk mitigation and diversifying the portfolios.Originality/value>Using a portfolio of green, Islamic and conventional financial markets, the uniqueness of this study lies in the examination of the connectedness of these markets by deploying the TVP-VAR technique. In addition, wavelet analysis offers a significant contribution in terms of global factors driving the connectedness of green, Islamic and conventional markets.
Green bonds (GB) are gaining a prominent role in sustainable development because of their ability to fund environment-friendly projects. This study aims to investigate if investors can benefit from ...the risk diversification properties of including GB with other assets, particularly within the context of the ongoing COVID-19 pandemic. To do so, we utilize a quantile-connectedness approach to examine a set of GB and traditional assets, i.e., commodities, stocks, and bonds, from 2008 to 2020. We find higher total time-varying risk spillovers during extreme high volatility periods than those with average and low volatility. For pairwise risk spillovers, GB offers more diversification opportunities when volatility is very low. Nevertheless, the diversification benefits increase during the COVID period. The strong bidirectional risk spillovers between GB and conventional bonds imply that GB can be considered a good alternative to traditional bonds while benefiting from their diversification potential, particularly with energy and agriculture. Our findings are useful for investors wishing to implement green diversification portfolio strategies in extreme volatility periods and act as an encouragement to policymakers to establish efficient policies to promote green finance.
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•We estimate quantile connectedness between green bonds and traditional assets.•We find higher total time-varying risk spillovers during extreme high volatility periods.•Strong bidirectional risk spillovers are found between green and conventional bonds.•Green bonds offer diversification opportunities when volatility is very low.•Green bonds are revealed to be a strong diversifier for energy and agriculture.
Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative ...efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bond markets significantly escalated during the COVID-19 outbreak. Furthermore, our results indicate a higher level of efficiency of the conventional bond market over the full sample period. However, the green bond market is more efficient during a black swan event, such as the COVID-19 global pandemic, showing the potential of green bonds to become an effective diversifier for investors in traditional assets in times of extreme market turmoil. The results of the study can have important implications for investors and policymakers.
•Comparative efficiency of green and conventional bonds pre- and during COVID-19.•Asymmetric multifractal detrended fluctuation analysis method is applied.•Inefficiency in both bond markets significantly escalated during the COVID-19.•Higher efficiency of the conventional bond market is observed pre-COVID-19.•The green bond market is more efficient during the COVID-19 global pandemic.
•We examined the extreme risk transmission of blockchain markets.•Risk spillovers among blockchain markets with strong disconnection of NFTs.•NFTs offer greater diversification avenues with ...substantial risk-bearing potential among blockchain markets.
The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFi Tokens, and Cryptocurrencies. We examined the extreme risk transmission of blockchain markets using the quantile connectedness technique at the median, extreme low, and extreme high volatility conditions. We find significant risk spillovers among blockchain markets with strong disconnection of NFTs. Meanwhile, time-varying features characterized various uneven economic circumstances. Overall, NFTs offer greater diversification avenues with substantial risk-bearing potential among other blockchain markets to shelter the investments and minimize extreme risks.
This paper studies the tail dependence among carbon prices, green and non-green cryptocurrencies. Using daily closing prices of carbon, green and non-green cryptocurrencies from 2017 to 2021 and a ...quantile connectedness framework, we find evidence of asymmetric tail dependence among these markets, with stronger dependence during highly volatile periods. Moreover, carbon prices are largely disconnected from cryptocurrencies during periods of low volatilities, while Bitcoin and Ethereum exhibit time-varying spillovers to other markets. Our results also show that green cryptocurrencies are weakly connected to Bitcoin and Ethereum, and their net connectedness are close to 0, except during the COVID-19 pandemic. Finally, we find a significant influence of macroeconomic and financial factors on the tail dependence among carbon, green and non-green cryptocurrency markets. Our results highlight the time-varying diversification benefits across carbon, green and non-green cryptocurrencies and have important implications for investors and policymakers.
•Extreme tail dependence among carbon prices, green and non-green cryptocurrencies.•We find stronger dependence during high volatile periods compared to low volatile periods.•Carbon prices are largely disconnected from cryptocurrencies during low volatility periods.•Green cryptocurrencies are weakly connected to Bitcoin and Ethereum.•We find a significant influence of macroeconomic and financial factors on the tail dependence.
This study quantifies the spillover effects among seven cryptocurrencies to explore the spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple, Litecoin, Monero, ...Stellar, and NEM. The connectedness networks of returns are based on standard VAR and quantile VAR spillovers. In addition, the framework focuses on intact, pre-, and post-COVID-19 crisis sub-sample periods. Our results highlight that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover. The strongest interconnection is found for Bitcoin/Litecoin and Ripple/Sellar pair. Interestingly, Ethereum is the unvarying recipient in the system and is influenced by most of the cryptocurrencies. Further, NEM exhibits no connection with any of the cryptocurrency in the network acting as a potential diversifier. The quantile spillovers suggest increased intensity of connectedness at right and left tails. The sub-sample analysis confirms the low network integration across the cryptocurrencies during pre-COVID period. Finally, the post-COVID period indicates tangled clusters across the cryptocurrencies. The analysis provides contrasting results as obtained in the pre-analysis phase. Implications for investors and policymakers are highlighted in the study.
We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the ...time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some ‘big pond’ markets for e.g. commodities, whereas some others affect the connectedness negatively. Additional analysis of financial and economic uncertainty indicators manifests positive impacts from the volatility of some ‘big pond’ markets, e.g., commodities, while others negatively affect the connectedness.
•There are some return and volatility connections between green stock markets, US sectors and commodities.•Strong intragroup connectedness especially in sectoral US stock markets•Weak intergroup connectedness among the three markets implies good hedging possibilities.•Some individual commodity markets affect the green finance stocks but not the US sectors generally.•Some general uncertainty measures affect both the return and volatility connectedness between green and conventional markets.
PurposeThis study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging ...facilities to uncertainty indices of cryptocurrencies.Design/methodology/approachThe authors employed the methodology of Baur and McDermott (2010) and AGDCC-GARCH model to measure the hedge and safe-haven characteristics of three bond markets (BBGT, SPGB and SKUK) for three uncertainty indexes of cryptocurrencies (UCRPR, UCRPO and ICEA).FindingsThe authors find that bond markets are neither hedge nor safe havens except for SKUK which is a safe haven investment for cryptocurrency indices and offers substantial diversification during the periods of economic fragility. In addition, the hedge effectiveness of SPGB outperforms other bonds during crisis periods and provides sufficient diversification potential for cryptocurrency indices.Practical implicationsThe findings are important for policymakers, regulatory bodies, financial firms and investors in assessing hedge and safe haven characteristics of bond markets against cryptocurrency indices.Originality/valueEmploying the novel methodology of AGDCC-GARCH with three different bond markets and three uncertainty indices of cryptocurrencies, the current study adds to the existing strand of literature in terms of quantifying hedge and safe-haven attributes of bond markets for cryptocurrency uncertainty indexes.
The purpose of this study is to investigate the return connectedness in the median, left, and right tail, using the novel methodology of quantile-based connectedness proposed by Ando et al. (2018). ...We use daily data covering the period from 1 January 2013 to 27 October 2020, which includes different financial crises occurring in GCC, Turkey, Malaysia, and Indonesia. Furthermore, analysing the dynamic connectedness, the Sukuk market was significantly influenced by the COVID-19 pandemic. Our findings reveal that the spillover structures in both upper and lower tails differ from those observed in the middle quantile. Finally, we find that Bahrain, Malaysia, Oman, and Qatar transmitted more spillovers than they admitted during the COVID-19 outbreak. These findings offer vital implications for regulators and policymakers, investors, traders, and portfolio managers regarding whether diversification across Sukuk indices is achievable during turbulent periods like COVID-19.
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