Plain language summary

This study investigates the dynamic volatility transmission among green cryptocurrencies, ESG indices, and gold from 2018 to 2023, offering insights valuable to portfolio managers for risk management. We selected four green cryptocurrencies, three ESG indices, and gold as examples. We utilize the time-varying parameter vector autoregression (TVP-VAR) model to examine the relationships among the assets. This approach aims to analyze the dynamic interactions among many time series variables whose relationships fluctuate over time. Key findings include volatility patterns; that is, Gold, Tezos, Nano, and DJSEM exhibit higher volatility, while Cardano, Stellar, DJSW, and DJSNA show lower volatility. Gold plays a net volatility role, meaning it is a net receiver of volatility. Among green cryptocurrencies, Cardano and Stellar are net transmitters, while Nano and Tezos are net receivers. For ESG indices, DJSW and DJSNA are net transmitters, whereas DJSEM is a net receiver. While diversification across different asset classes is beneficial, the most effective hedging occurs within the same asset class, such as cryptocurrencies. The mixed outcomes prevent a clear categorization of asset classes as net transmitters or receivers, highlighting the complexity of volatility interactions. Policymakers should account for the systemic risk linked to green cryptocurrencies and ESG indices when formulating legislation.

Connectedness between Green Cryptos, ESG indices and Gold

The connectedness volatility of ESG indices, green cryptocurrencies and gold markets provide significant value for portfolio managers and investors to overcome risks. This study examines the dynamic transmission of volatility between different asset classes, specifically focusing on green cryptocurrencies, Environmental, Social and Governance (ESG) indexes, and gold. We have selected four green cryptocurrencies, three ESG indexes, and gold as our study samples for the period covering from 2018 to 2023. Our data indicates that gold, Tezos, Nano, and DJSEM tend to experience higher levels of volatility, whereas Cardano, Stellar, DJSW, and DJSNA tend to have lower levels of volatility. In short, we are unable to categorize which asset type functions as net receivers and net transmitters. Furthermore, the findings demonstrate the advantages of diversification across three different asset classes, taking into account various costs associated with hedging. In order to mitigate the risk, portfolio managers and investors may utilize research insights to include environmentally-friendly cryptocurrencies and ESG indexes into their asset portfolios. Policymakers should take into account the systemic risk associated with green cryptocurrencies and ESG indexes when formulating laws.

Search results

The Impact of 9/11 on Money Laundering

Connectedness of Dynamic Volatility Over Green Cryptos,the ESG Indices,and Gold: TVP-VAR Approach