Unravelling Interconnectedness and Dynamic Behaviour in Financial Networks: Insights from Asset Analysis

Abstract

The increasing focus on sustainability in financial markets has led to a heightened interest in understanding the interconnectedness of various asset classes, particularly those related to the blue and green economies. This study aims to measure the spillover relationships between four blue-economy indexes and four green-economy indexes alongside Bitcoin and Gold. We utilize an innovative quantile and frequency connectedness analysis to explore the interplay of spillover dynamics across these diverse financial markets. Our analysis is based on data covering the period from 10th October 2021 to 5th January 2024. Our findings reveal significant spillover effects among the selected indexes, indicating that both blue and green assets exhibit distinct yet interrelated behaviours in response to market changes. These results underscore the importance of integrating insights from both economies into investment strategies, offering valuable implications for risk management and portfolio optimization in an increasingly complex financial landscape.