This paper aims to find the connectedness between cryptocurrencies and traditional assets. Using daily data of three representative cryptocurrencies and three traditional assets over the period August 2015 to July 2021, this study explores the cross-sector connectedness between the cryptocurrencies market and the traditional assets market. The result shows that connectedness varies over time and External events (COVID-19, oil crisis) have a significant impact on connectedness. Furthermore, traditional assets are relatively independent of each other. Cryptocurrencies, as the main transmitter, can affect each other. During some COVID-19 pandemic, cryptocurrencies can give great shocks to the traditional assets market. The result sparks some new insights for investors and policymakers.
The aim of the paper is to evaluate the investment attractiveness of selected energy tokens from the point of view of the effectiveness measures applied to ordinary financial instruments. The authors also classify energy tokens among climate-aligned tokens and digital instruments of green investments financing. In this way, it was possible to compare energy tokens against traditional financial instruments. Furthermore, the authors attempted to investigate the relationship between the formation of returns of the researched energy tokens and the returns on stock and commodity markets. The results of the study indicate the low investment attractiveness of energy tokens compared to investments in stock markets, commodity markets and investments in major cryptocurrencies such as Bitcoin and Ethereum. The research therefore indicates that buyers of energy tokens today should not be driven by investment or speculative motives but rather by a desire to obtain a means of clearing energy trading, or other utility.
This paper examines an essential methodology to evaluate the influence of the COVID-19 and Russia-Ukraine conflict surprises and conception statements employed for the dynamic conditional correlation between returns and volatilities of energy commodity indices and Bitcoin. To assess analytically the unexpected component of COVID-19 and Russia-Ukraine conflict surprises, we use GARCH-DCC (1,1) model as established by Engle (2002) by incorporating a dummy variable which measures the surprise factor during the period of study from January 04, 2016, to April 04, 2022. The experimental outcomes of this paper suggest significant and considerable dynamic conditional correlation between energy commodities indices and Bitcoin if COVID-19 pandemic and Russia-Ukraine conflict shocks are incorporated in variance assessments. Additionally, these outcomes demonstrate the financialization phenomena of energy commodities indices and Bitcoin. We find that the dynamic conditional correlation between energy commodities indices and Bitcoin start to respond considerably more in the situation of Russia-Ukraine conflict shocks than COVID-19 surprises. Our outcomes contribute and improve to the research in financial and economic impacts of the recent epidemic and war between Russia and Ukraine with offering an experimental impervious that COVID-19 and Russia-Ukraine conflict give a bidirectional spillover effect on energy commodities and cryptocurrencies assets. This investigation has an essential and considerable concern for the officials and legislators and the portfolio risk administrators and executives.
This paper aims to analyze and compare the ability of bitcoin, gold, and dollar to diversify the risk of traditional market such as crude oil and stock markets. Specifically, we model the linkages between bitcoin, gold, dollar, crude oil, and stock markets using the GARCH‐EVT‐copula approach. The results show that the gold market is in the central position among these markets, which is consistent with the status of gold as a major safe asset. Before the outbreak of COVID‐19, bitcoin and the dollar also had the ability to diversify risks, although less effective than gold. However, during the COVID‐19 period, gold loses its dominant position and gold, bitcoin, and dollar can no longer act as a hedge. We measure the value at risk (VaR) and expected shortfall (ES) of simulated portfolios constructed based on these five markets and use several backtesting methods to check the validity of the risk measures. The backtesting results show that our model can provide accurate risk measures before and within the COVID‐19 period, which may help investors and risk managers construct the optimal portfolios.
Stock market is susceptible to various external shocks for its tight dependence on economic fundamentals, financial speculation, and fragile emotions in massive traders, making it a very risky market for investors. In this paper, we aim to identify whether commonly recognized safe‐haven assets, that is, bitcoin, gold, and commodities, can provide investors with effective hedging utility in international stock markets, especially during periods of extreme market turbulence. By using the spillover index method based on the TVP‐VAR model, we find that firstly, bitcoin, gold, and commodities can only offer weak hedging effects on stock markets. Furthermore, their abilities to act as a safe haven are ranked as: commodities > gold > bitcoin. Secondly, in general, we have observed the increasing hedging ability of these safe‐haven assets in times of extreme market turmoil. Thirdly, among international stock and safe‐haven asset markets, the world and the developed stock markets act as the net spillover transmitters, while bitcoin, gold, and commodities are the net recipients. Lastly, the total spillover effects are time‐varying and increase significantly after the outbreak of extreme events.
Zynobia Barson, Peterson Owusu, Anokye M. Adam, Emmanuel Asafo‐Adjei
We employ a frequency‐dependent asymmetric and causality analysis to investigate the connectedness between gold and cryptocurrencies during the COVID‐19 pandemic. Hence, the variational mode decomposition‐based quantile regression is utilised. Findings from the study divulge that the variational mode functions at the lower quantiles are mostly significant and negative indicating that gold acts as a safe haven, a diversifier at most market conditions with insignificant coefficients, and a hedge at normal market conditions for most cryptocurrencies at various investment horizons. Particularly, hedging benefits mostly occur in the short‐ and medium‐term for Bitcoin and Ripple, as well as Bitcoin and Dogecoin in the long‐term with gold. This implies that there is high persistence in the hedging properties of gold with Bitcoin, followed by Ripple. We notice more significant relationship between gold and some cryptocurrencies in the long‐term of the COVID‐19 pandemic relative to the medium‐term emphasising the delayed responses of prices to information. Investors are recommended to be observant and mindful of investing in these markets due to the different dynamics.
The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public’s attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories from the LexisNexis News & Business database and applies the historical decomposition to assess the historical variations of the NFTsAI. Then the empirical analysis is performed via a TVP-VAR volatility spillover connectedness model. The empirical results show that NFTsAI indicates NFT markets are dominated by cryptocurrency, DeFi, equity, bond, commodity, F.X. and gold markets. And NFT markets are volatility spillover receivers. In addition, NFT assets could impede financial contagion and have significant diversification benefits. Employing a panel pooled OLS regression model as a supplementary analysis and a GARCH-MIDAS model as a robustness test. This study reveals that NFTsAI has sufficient power to explain the return of NFT assets from a fixed effect perspective, and NFTsAI contains useful forecasting information for both short and long-term volatility of NFT markets, separately. The new NFTsAI and the empirical findings contain useful insights for risk-averse investors, portfolio managers, institutional investors, academics and financial policy regulators.
The article aims to verify whether cryptocurrencies can hedge extreme price movements in Brent crude oil. The COVID-19 pandemic revealed that oil prices are heavily influenced by economic uncertainty and the mobility factor. We analyse Brent crude oil prices from February 10, 2020, to February 10, 2022. We consider Bitcoin, BNB, Ether, Tether, and USD Coin, the top five cryptocurrencies by market capitalization, as possible hedges. We explore their potential to protect oil investments using two approaches. The first focuses on price movement, and the second one on minimizing portfolio volatility. We use three modelling techniques: asymmetric causality in prices, a threshold vector-autoregressive model for returns, and dynamic conditional correlation analysis. We show that while stablecoins provide the best protection against downward movements in oil prices, they do not reduce investment volatility.
Yu Wei, Yizhi Wang, Brian M. Lucey, Samuel A. Vigne
Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been widely discussed since Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to explain and forecast volatilities in precious metal markets. By using the GARCH-MIDAS model incorporating cryptocurrency policy and price uncertainty, as well as several other commonly used uncertainty measures, this paper compares the in-sample impacts and out-of-sample predictive abilities of these uncertainties on volatility forecasts of COMEX gold and silver futures markets. The in-sample results demonstrate the significant impacts of cryptocurrency uncertainty on the volatilities of precious metal futures markets, and the out-of-sample evidence further confirms the superior predictive power of cryptocurrency uncertainty on volatility forecasting of the precious metal market. Our conclusions are robust through various model evaluation approaches based not only on predicting errors but also on forecasting directions across different forecasting time horizons.
COVID-19'un başlangıcı, 2020'nin belirleyici olayı haline geldi ve kripto para birimleri de dahil olmak üzere tüm dünyadaki finansal piyasaları etkiledi. Bu süreçte, altın ve diğer emtialar gibi güvenli bir liman olarak görülmeye başlanan kripto para birimlerine ve diğer dijital varlıklara yatırıma olan ilgi arttı. Bu amaçla bu çalışmada Covid-19 sürecinde, altın ve petrol fiyatlarında meydana gelen şokların Bitcoin fiyatları üzerindeki asimetrik etkisi incelenmiştir. Çalışmada Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif (NARDL) analiz yöntemi kullanılmıştır. Analizin sonucunda, uzun vadede altın fiyatlarında meydana gelen negatif şokların Bitcoin fiyatlarını olumlu etkilediği, petrol fiyatlarında meydana gelen negatif şokların ise Bitcoin fiyatlarını olumsuz etkilediği sonucuna ulaşılmıştır. Uzun vadede altın ve petrol fiyatlarında meydana gelen pozitif şokların ise Bitcoin fiyatları üzerinde istatistiki olarak anlamlı bir etkisinin olmadığı görülmüştür. Kısa vadede ise hem altın hem de petrol fiyatlarında meydana gelen pozitif şokların Bitcoin fiyatlarını olumlu etkilediği, negatif şokların ise olumsuz etkilediği tespit edilmiştir. Sonuç olarak, Bitcoin’in küresel yatırımcılar için finansal çeşitlendirmede ideal olabileceği ve yeni bir sanal altın olarak piyasalardaki yerini alabileceği görülmüştür.
Bu makalenin amacı kriptopara birimleri olarak da adlandırılan merkezi olmayan para birimleri olan Bitcoin Cash, Ethereum, Litecoin ve Ripple arasındaki ilişkilerin ortaya çıkarılmasıdır. Çalışmada üzerinde çalışılan dönem 03.08.2017 – 17.03.2020 tarihleri arasıdır. Çalışmada birim kök testi olarak Augmented Dickey-Fuller (ADF) testi uygulanarak serilerin durağan olduğu düzeyler saptanmış ve aralarındaki nedensellik ilişkisi Granger nedensellik testi ile sınanmıştır. Seriler arasındaki ilişkilerin yönü ve büyüklüğü, vektör otoregresif (VAR) model tekniğiyle belirlenmeye çalışılmıştır. Ayrıca, etki-tepki analizleri ve varyans ayrıştırma analizleri yapılarak serilerin standart sapmasında meydana gelen değişimin dönem bazında % kaçının diğer değişkenler tarafından açıklandığı ortaya konmuştur.
This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian Dynamic Conditional Correlation-Multivariate GARCH (DCC-MGARCH) models using US daily data from 2 January 2019 to 26 February 2021. Our results suggest that the fossil fuel (WTI crude oil and natural gas) and financial markets (clean energy stock, gold, and Bitcoin) generally had negative relationships in 2019 before the pandemic prevailed, but they became positive for a while in mid-2020, alternating between positive (0.8) and negative values (−0.8). As it is known that negative relationships are required among assets to hedge the risk of price changes, this implies that stakeholders need to be cautious in hedging the risk across the fossil fuel and financial markets when a crisis like COVID-19 occurs. However, our study also revealed that such negative relationships only lasted for three to six months, suggesting that the effects of the pandemic were short term and that stakeholders in the fossil fuel markets could cross hedge with the financial markets in the long term.
Bu çalışmada ekonomik politika belirsizliğinin (EPU) kripto paralar üzerindeki etkisi panel veri yöntemleriyle araştırılmaktadır. Bu amaç doğrultusunda öncelikle küresel ekonomik politika belirsizliği endeksi ve en büyük dört kripto paranın aylık verileri elde edilmiştir. Çalışmada kullanılan kripto paralar; Bitcoin (BTC), Ethereum (ETH), BinanceCoin (BNB) ve Ripple (XRP)’dir. 2018:01-2020:12 dönemine ait verilerin kullanıldığı çalışmada, yatay kesit bağımlılığı ve homojenlik testleri gerçekleştirilmiştir. Daha sonra Kónya (2006) tarafından önerilen bootstrap panel nedensellik testi uygulanmıştır. Dört kripto paradan ilk sırada yer alan Bitcoin ile EPU arasında çift yönlü nedensellik ilişkisi bulunurken, son sırada bulunan XRP için herhangi bir nedensellik ilişkisine rastlanamamıştır. İkinci ve üçüncü sıradaki kripto paralarda ise EPU’dan bu paralara doğru tek yönlü nedensellik ilişkisi olduğu görülmüştür. Çalışmadan elde edilen bulgular, ekonomik politika belirsizliğinin kripto paraların değerleri üzerinde etkisi olabileceğini göstermektedir.
The rationality and scientific nature of the emission trading mechanism is the key to the effective implementation of environmental and economic policies. As far as China is concerned, there are phenomena such as information asymmetry, low supervision efficiency, and alienation of government and enterprise behaviors caused by the incomplete mechanism of emission trading in the practice of different pilots. The introduction of blockchain technology can innovate the traditional transaction model and form a decentralized peer-to-peer transaction and a trusted emission trading market. To this end, based on the current emission trading mechanism and the characteristics of blockchain technology, this paper couples the core technologies of blockchain with the functional requirements of application scenarios. Then, an innovative application framework is built based on the consortium blockchain Fabric from three aspects: emission trading supervision, secondary trading market construction, as well as emission trading incentive and punishment mechanisms. Technologies such as the consensus mechanism, smart contract, Merkle tree and asymmetric encryption are comprehensively applied in this process. In the construction of the blockchain framework of the secondary market for emission trading, institutional changes and innovations brought about by the blockchain at various levels are analyzed in terms of participants, transaction processes and the transaction scope. At the same time, smart contract functions and algorithms are designed for the purchase, transfer-out and trading of emission rights, and the operation business logic of the smart contract is analyzed. On the whole, this paper explores the application framework of blockchain technology in the field of emission trading at the macro level, and analyzes the application mechanism of the corresponding technologies of blockchain at each coupling point in the framework at the micro level. The collaborative analysis at the two levels shows that blockchain technology and the requirements of emission trading mechanism can be effectively coupled, and the application of blockchain technology can promote the effective supervision of enterprises' emission behavior, making the processes of the purchase, transfer and transaction of emission rights intelligent and automated, and providing technical support for cross-regional emission trading to reduce transaction costs and management complexity. In addition, the issuance of emission credits based on smart contract will be a new incentive for companies to actively participate in transactions. Based on the above analysis, this paper believes that the innovative application of blockchain technology is of great significance in the promotion of the market-based allocation of element of emission trading and the rational allocation of environmental resources. It will lead to a major breakthrough in the traditional trading system in terms of trading modes, forming a value transmission network of environmental resources between the government and polluters.
The pandemic of coronavirus (COVID-19) creates fear and uncertainty causing extraordinary disruption to financial markets and global economy. Witnessing the fastest selloff in the American stock market in history with a plunge of more than 28% in S&P 500 has increased the volatility of global financial market to exceed the level observed during the financial crisis of 2008. On the other hand, Bitcoin value has shown considerable stability in the last couple of months peaking at $10,367.53 in the mid of February 2020. In this context, the aim of this paper is to investigate the impact of COVID-19 numbers on Bitcoin price taking into consideration number of controlling variables including WTI-oil price, S&P 500 index, financial market volatility, gold prices, and economic policy uncertainty of the US. To do so, ARDL estimation has been applied using daily data from December 31, 2019 till May 20, 2020. Key findings reveal that the daily reported cases of new infections have a marginal positive impact on Bitcoin price in the long term. However, the indirect impact associated with the fear of COVID-19 pandemic via financial market stress cannot be neglected. Bitcoin can also serve as a hedging tool against the economic policy uncertainty in the long term. In the short run, while the returns of economic policy uncertainty have no impact on Bitcoin price, the growth in the new cases of COVID-19 infection and returns of financial market volatility have more positive significant impact on Bitcoin returns.
As an important way to reduce emission, forestry carbon sink (FCS) has not been implemented effectively. Therefore, this paper aims to analyze the effectiveness and mechanism of applying blockchain technology in FCS projects by utilizing the differential game model. A Stackelberg differential game model between forest farmers and emission-controlled enterprises (ECEs) is developed to analyze the optimal emission reduction efforts and the optimal trajectory of forest farmers and ECEs before and after introducing blockchain technology. It is found that: (1) At the initial stage of the utilization of blockchain technology, if blockchain technology takes a leading role in stabilizing carbon prices, the ECEs prefer to purchase FCS instead of reducing emissions by their own technology. On the contrary, if blockchain technology takes a leading role in stimulating the vitality of the carbon trading market, ECEs tend to use emission abatement technology to meet the carbon quote requirements. (2) In the later stage, the incentive and stabilizing effects of blockchain technology on carbon prices tend to be balanced, and the emission reduction efforts of ECEs are lower than the efforts before applying blockchain technology. (3) The application of blockchain technology increases forest farmers’ willingness to reduce emissions because of its effection of cost reduction and efficiency improvement. Meanwhile, blockchain technology reduces abatement costs by influencing carbon prices. Therefore, blockchain technology improves forest farmers’ emission reduction efforts on the whole.
Sinan Erdoğan, Maruf Yakubu Ahmed, Samuel Asumadu Sarkodie
Abstract When Bitcoin (BTC), the first pioneering cryptocurrency was released in 2009, it was considered as an apolitical currency. Besides, the possible effect of BTC and other cryptocurrencies on either financial markets or transactions has been widely discussed. However, the environmental effects of cryptocurrency demand have been ignored. Here, this study examines the nexus between cryptocurrencies and environmental degradation by employing standard and asymmetric causality methods. The Toda-Yamamoto and bootstrap-augmented Toda-Yamamoto test results reveal Bitcoin and Ethereum (ETH) excluding Ripple (XRP) have causal effects on environmental degradation. The Fourier-augmented Toda-Yamamoto test results show causal effects running from Bitcoin and Ripple to environmental degradation, whereas no causal effect runs from Ethereum to environmental degradation. The asymmetric causality shows causal effects from the positive shock of Bitcoin demand, negative shocks of Ripple and Ethereum demands to positive shocks of environmental degradation. Further discussions and policy implications are provided in the relevant sections of this study.