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Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war
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Miklesh Prasad Yadav,
Junhu Ruan,
Mohammad Abedin ,
Nidhi Malhotra
Finance Research Letters, Volume: 58, Issue: A, Start page: 104323
Swansea University Author:
Mohammad Abedin
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DOI (Published version): 10.1016/j.frl.2023.104323
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...
| Published in: | Finance Research Letters |
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| ISSN: | 1544-6123 1544-6131 |
| Published: |
Elsevier BV
2023
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa64238 |
| 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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| Keywords: |
Connectedness, Traditional asset, Digital asset, Diversification, Volatility, Renewable energy, Portfolio management, DeFi, NFT |
| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
A |
| Start Page: |
104323 |