Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war

John W. Goodell · Miklesh Prasad Yadav · Junhu Ruan · Mohammad Zoynul Abedin · Nidhi Malhotra

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Market Dynamics and Volatility Financial Risk and Volatility Modeling COVID-19 Pandemic Impacts

Abstract

This paper analyses the connectedness among traditional assets, digital assets and renewable energy for extending the data from December 31, 2019 to January 2, 2023. For an empirical analysis, time varying parameter (TVP-VAR) is employed. We find that Chainlink (DeFi) is the highest receiver, while bitcoin is the highest transmitter of shocks to the network. Additionally, we also find that Non-Fungible Tokens (NFT) acts as the most suitable asset to be included in portfolio since it is least connected with rest of the examined assets classes. Results are important for investors and portfolio managers.

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions 2020Return connectedness across asset classes around the COVID-19 outbreak 2020Decentralized Finance 2022Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine 2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19

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