Energy cryptocurrencies: Assessing connectedness with other asset classes

Imran Yousaf; Yasir Riaz; John W. Goodell

doi:10.1016/j.frl.2022.103389

Energy cryptocurrencies: Assessing connectedness with other asset classes

Imran Yousaf, Yasir Riaz, John W. Goodell

Accounting & Finance

Research output: Contribution to Journal › Article › peer-review

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.

Original language	English
Article number	103389
Journal	Finance Research Letters
Volume	52
Early online date	1 Oct 2022
DOIs	https://doi.org/10.1016/j.frl.2022.103389
Publication status	Published - 25 Feb 2023

Bibliographical note

The authors assert that this paper is a product of genuine collaboration and is not published or under consideration elsewhere.

Data Access Statement

Data will be made available on request.

Keywords

Energy cryptocurrencies
Portfolio diversification
TVP-VAR
COVID-19
Russian-Ukraine war
WTI oil

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title = "Energy cryptocurrencies: Assessing connectedness with other asset classes",

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.",

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AB - 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.

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KW - Portfolio diversification

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Energy cryptocurrencies: Assessing connectedness with other asset classes

Abstract

Bibliographical note

Data Access Statement

Keywords

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