Energy cryptocurrencies: Assessing connectedness with other asset classes

Imran Yousaf, Yasir Riaz, John W. Goodell

Research output: Contribution to JournalArticlepeer-review


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 languageEnglish
Article number 103389
JournalFinance Research Letters
Early online date1 Oct 2022
Publication statusPublished - 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.


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


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