Source of Publication
Are green investments decoupled from the dirty investment such as the fossil fuel markets? We address this issue by extending the literature on environmental, social, and governance (ESG) assets by examining the dynamic relationship between fossil fuels and digital ESG assets proxied by green cryptocurrencies using the TVP-VAR(Time-varying parameter vector auto regression) spillover framework. Furthermore, we analyze the hedging attributes of green cryptocurrencies and fossil fuels in a minimum connectedness framework. The main findings are as follows: First, green cryptocurrencies are the main shock transmitters in all asset systems. Second, the dynamic connectedness between green cryptocurrencies and fossil fuels increased during the COVID-19 and Russia-Ukraine conflicts. Third, green cryptocurrencies have shown considerable hedging effectiveness against the fossil fuels. Our study has important implications for investors, regulators, and policy makers, such as shifting to green cryptocurrencies, regulation of carbon footprint, and promoting eco-friendly assets.
Public Library of Science (PLoS)
Green cryptocurrencies, Fossil fuels, Dynamic spillovers, Portfolio implications, TVP-VAR, Minimum connectedness framework
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Umar, Zaghum; Choi, Sun Yong; Teplova, Tamara; and Sokolova, Tatiana, "Dynamic spillovers and portfolio implication between green cryptocurrencies and fossil fuels" (2023). All Works. 5996.
Indexed in Scopus
Open Access Type
Gold: This publication is openly available in an open access journal/series