This article explores the relationship between green energy and cryptocurrencies in the sustainable energy finance sector. The research findings contribute to our understanding of the application of green economy practice, enabling investors in financial markets, policymakers, and stakeholders to make informed decisions and develop specific strategies. Adopting the green economy paradigm makes it possible to promote collaboration and innovation by integrating ethical and responsible principles that can improve the overall quality of processes and boost sustainable growth. Cryptocurrencies have been widely used as financial instruments over the last decade. Given the development of the cryptocurrency market and the growing awareness of greener and more energy-efficient tokens, the green economy has become a popular topic for understanding economic and political issues. However, the literature still lacks clear evidence on how cryptocurrencies interact with green energies. Therefore, this study examines the long- and short-term relationships between dirty cryptocurrencies such as Bitcoin (BTC), Ethereum (ETH), clean cryptocurrencies such as Cardano (ADA), Ripple (XRP), Stellar (XLM), and green energies such as ISE Clean Edge Global Wind Energy, S&P Global Clean Energy, S&P TSX Renewable Energy and Clean Technology, Solactive China Clean Energy, in the period from January 2020 to September 2023. The results show that diversification is key, with clean cryptocurrencies such as ADA, XLM and XRP offering diversification opportunities alongside "dirty" cryptocurrencies such as BTC and ETH. Although sustainable energy indices show mixed evidence in the long and short term, they remain relevant for those who focus on clean energy investments. It is also becoming increasingly relevant for investors in sustainable portfolios to assess their environmental impact, especially for energy-intensive cryptocurrencies, and it is advisable to explore sustainable blockchain technologies.
Jinghua Wang, Geoffrey Ngene, Yan Shi, Ann Nduati Mungai
Policymakers and portfolio managers pay keen attention to sources of uncertainties that drive asset returns and volatility. The influence of uncertainty on Bitcoin has the potential to drive fluctuations in the entire cryptocurrency market. We investigate the predictability of thirteen economic policy uncertainty indices on Bitcoin returns. Using the Random Forest machine learning algorithm, we find that Singapore’s economic policy uncertainty (EPU) has the strongest predictive power on Bitcoin returns, followed by financial crisis (FC) uncertainty and world trade uncertainty (WTU). We further categorize these uncertainties into different groups. Interestingly, the predictability of uncertainty indices on Bitcoin returns within the international trade group is stronger compared to other uncertainty categories. Additionally, we observed that internet-based uncertainty measures have more predictive power of Bitcoin returns than newspaper- and report-based measures. These results are robust using various additional machine learning methods. We believe that these findings could be valuable for policymakers and portfolio managers when making decisions related to uncertainty drivers of cryptocurrency prices and returns.
This paper aims to reveal the asymmetric co-integration relationship and asymmetric causality between Bitcoin and global financial assets, namely gold, crude oil and the US dollar, and make a comparison for their asymmetric relationship before and after the COVID-19 outbreak. Empirical results show that there is no linear co-integration relationship between Bitcoin and global financial assets, but there are nonlinear co-integration relationships. There is an asymmetric co-integration relationship between the rise in Bitcoin prices and the decline in the US Dollar Index (USDX), and there is a nonlinear co-integration relationship between the decline of Bitcoin and the rise and decline in the prices of the three financial assets. To be specific, there is a Granger causality between Bitcoin and crude oil, but not between Bitcoin and gold/US dollar. Before the outbreak of the COVID-19 pandemic, there was an Asymmetric Granger causality between the decline in gold prices and the rise in Bitcoin prices. After the outbreak of the pandemic, there is an asymmetric Granger causality between the decline in crude oil prices and the decline in Bitcoin prices. The COVID-19 epidemic has led to changes in the causality between Bitcoin and global financial assets. However, there is not a linear Granger causality between the US dollar and Bitcoin. Last, the practical implications of the findings are discussed here.
Purpose This paper aims to investigate the determinants of global interest in central bank digital currency (CBDC). It assessed whether global interest in sustainable development and cryptocurrency are determinants of global interest in CBDC. Design/methodology/approach Google Trends data were analyzed using two-stage least square regression estimation. Findings There is a significant positive relationship between global interest in sustainable development and global interest in CBDC. There is a significant positive relationship between global interest in cryptocurrency and global interest in the Nigeria eNaira CBDC. There is a significant negative relationship between global interest in CBDC and global interest in the eNaira CBDC. There is a significant positive relationship between global interest in CBDC and global interest in the China eCNY. There is a significant negative relationship between global interest in cryptocurrency and global interest in the Sand Dollar and DCash. Originality/value The literature has not empirically examined whether global interest in sustainable development and cryptocurrency are factors motivating global interest in CBDC. This study fills a gap in the literature by investigating whether global interest in sustainable development and cryptocurrency are factors motivating global interest in CBDC.
Catherine Mulligan, Suzanne G. Morsfield, Evîn Cheikosman
Blockchain technology has been proposed to achieve sustainable development through various solutions, such as carbon credit trading, energy systems and supply chain management. While existing literature has not covered this topic in a structured fashion, this paper provides insights to policymakers on how blockchain can deliver sustainable development. This study conducted a systematic literature review on the role of blockchain technologies in assisting policymakers in achieving ESG and environmental sustainability goals. The paper performs a detailed PRISMA SLR analysis of 10,188 technical and policy papers sourced from Scopus and IEEE databases to ensure high-quality inputs and breadth of coverage across relevant sources. In addition, the study reviews the relevant regulatory environment related to ESG, including SDGs, IPCC, COP 27, ESMA, ISSB, SEC, GRI, TCFD, ESRS, IFRS S1 and S2 and CRSD. Most papers do not outline a structured approach to applying blockchain in the emerging regulatory environment. Our paper outlines recommendations to policymakers wishing to ensure that the blockchain research community and solutions proposed are usefully directed to enable the world to achieve its net zero goals.
Matteo Vaccargiu, Andrea Pinna, Roberto Tonelli, Luisanna Cocco
Blockchain technology finds application in multiple sectors, including renewable energy. Numerous blockchain-based applications aim to provide support in the production, management, distribution, and consumption of green energy. The benefits offered are not only technological but also social, environmental, and economic. The purpose of this study is to examine how the application of blockchain in the energy industry may affect the achievement of the Sustainable Development Goals (SDGs). This study is composed of two parts. The first part concerns the identification and analysis of the most relevant categories of blockchain applications in the energy sector and their ability to contribute to the achievement of the SDGs. A knowledge base, comprising scientific articles, gray literature, and real-world applications, has been created and analyzed. With a keyword-based approach, each application was associated with one or more SDGs. In the second part, the Sustainability Awareness Framework (SuSAF) was used to examine the findings of the first part of the study and discuss them in terms of five dimensions of sustainability. Finally, potential risks associated with the use of blockchain in the energy sector are also covered. Results reveal that tracking energy production and consumption and renewable energy communities are the applications that have the most beneficial effects, and that the benefits linked to blockchain adoption go beyond the energy sector to include the environment, the economy, industry, infrastructure, smart cities, and society.
<p class="MsoNormal" style="margin-top: 6.0pt;"><span lang="EN-US" style="mso-bidi-font-size: 10.5pt; font-family: 'Cambria',serif; mso-fareast-font-family: 宋体; mso-bidi-font-family: 'Times New Roman';">Gold has been traditionally well recognized as a safe heaven for financial markets. Lately, Bitcoin has been gradually considered as a popular alternative. Since the outbreak of COVID-19 in early 2020, it has become even more necessary and critical to examine the diversification capability of them to hedge financial risks associated with an unexpected crisis comparable to the pandemic. This paper hence employs the wavelet analysis, complemented by the multivariate DCC-GARCH approach, to measure the coherence of the gold and Bitcoin prices with six representative stock market indices, three for developed economies and three for emerging economies, all of which are heavily affected by the pandemic. To have a more balanced and comprehensive analysis, two-year data are used, spanning from 12th April 2019 to 15th April 2021, which covers approximately one year before and one year after the announcement of the COVID-19 pandemic. The results suggest that the returns of both gold and Bitcoin are generally not strongly correlated with the market returns of all six indices, particularly for short-term investment horizons. That is, investors in all six indices can benefit through gold, as well as Bitcoin, in terms of hedging. Meanwhile, compared with Bitcoin, gold shows to be less correlated with the indices, particularly for long-term investment horizons. The findings hence suggest that gold and Bitcoin offer diversification benefits to investors in the market indices during a crisis such as the COVID-19 pandemic, especially for short-term investment horizons. The study also reminds policymakers thinking beyond the pandemic about the future of the earth, including air pollution and health, for sustainable development of the whole world.</span></p>
Bu çalışmada, Bitcoin fiyatları ile ekonomik politika belirsizlik endeksi (EPU), geniş para arzı (M3) ve enflasyon arasındaki ilişki ARDL sınır testi ve Toda-Yamamoto nedensellik testleri kullanarak araştırılmak istenmiştir. Bu bağlamda söz konusu değişkenler arasındaki kısa ve uzun dönem ilişkisi BRIC (Brezilya, Rusya, Hindistan ve Çin) ülkeleri açısından Ağustos 2010-Aralık 2021 arası aylık veriler kullanılarak gerçekleştirilmiştir. Ampirik analizler sonucunda Çin’nin EPU endeksinin uzun ve kısa dönemde Bitcoin’i negatif etkilediğine ulaşılmıştır. Hindistan için EPU endeksinin uzun dönemde Bitcoin fiyatı üzerindeki etkisi negatif iken; kısa dönemli etkiye rastlanılamadığı görülmüştür. Rusya ve Brezilya içinse EPU endeksi Bitcoin üzerinde etkili bulunamamıştır. BRIC ülkelerinde enflasyonun Bitcoin üzerindeki etkisi uzun dönemde pozitiftir. M3’ün Bitcoin üzerindeki etkisi Hindistan için kısa dönemde pozitif, Brezilya için uzun dönemde negatif yönlü çıkmıştır. Son olarak nedensellik sonuçlarına göre Hindistan ve Brezilya’da enflasyondan Bitcoin’e doğru tek yönlü nedensellik mevcuttur. Çin içinse enflasyondan Bitcoin’e; Bitcoin’den de ekonomik politika belirsizliğine doğru nedensellik ilişkisi söz konusudur. Elde edilen bulgular Bitcoin yatırımcılarının ve politika yapıcıların M3, enflasyon ve EPU’nun etkilerini göz önünde bulundurarak girişimde bulunmalarına ve Bitcoin’le ilgili düzenlemeler geliştirmelerine katkıda bulunacaktır.
Kun Duan, Yanqi Zhao, Andrew Urquhart, Yingying Huang
This paper analyses time-varying networks of clean and dirty cryptocurrencies with green and traditional assets through a dynamic connectedness approach established by the time-varying parameter vector autoregressive (TVP-VAR) model. The underlying asymmetry of the dynamic pairwise connectedness when facing uncertainty shocks is further studied through a non-parametric quantile causality method. Our results demonstrate a limited information transmission of volatility from cryptocurrencies to both traditional and green assets, while the connection of clean cryptocurrencies (CI) with the financial system is even weaker compared to that of dirty cryptocurrencies (DI), especially after the COVID-19 pandemic. In contrast, connection within the financial system is found to be relatively closer. Moreover, causal relationships between economic policy uncertainty (EPU) and cryptocurrency-financial asset linkages are generally enhanced after the pandemic onset, while such the causality of uncertainty with DI related asset linkages tends to be even stronger. Most of the above causalities are shown to be negligible during market depression, further implying the sheltering role of the market linkages against uncertainty.
Mohamed Fakhfekh, Yasmine Snene Manzli, Azza Béjaoui, Ahmed Jeribi
This article attempts to assess the hedging, diversification and safe haven characteristics of gold, Bitcoin and Tether for G7 investors during the political and health crises. For this end, we use the Generalized Autoregressive Conditional Heteroskedasticity-A-Dynamic Conditional Correlation model. The findings prove that gold can be considered as a strong safe haven asset for the G7 investors during the Russia–Ukraine crisis. In contrast, cryptocurrencies fail to retain their safe haven features for Japanese investors during the COVID-19 pandemic. But, they act as diversifier assets for the rest of the G7 stock markets. The computed optimal hedge and hedging effectiveness reveal that Bitcoin displays the best hedging instrument for the United States, British, Japanese and Canadian investors during the Russia–Ukraine crisis whereas gold is considered as the best instrument for German, French and Italian investors.
Medina Ayta Mohammed, Carmen De‐Pablos‐Heredero, José Luis Montes Botella
Central bank-issued digital currencies have sparked significant interest and are currently the subject of extensive research, owing to their potential for rapid settlement, low fees, accessibility, and automated monetary policies. However, central bank digital currencies are still in their infancy and the levels of adoption vary significantly between nations, with a few countries seeing widespread adoption. We used partial least squares structural equation modeling to investigate the nonlinear relationship between key national development indicators and central bank digital deployment across 67 countries. We explore the technological, environmental, legal, and economic factors that affect central bank digital currency adoption by country. We found a statistically significant and positive correlation between countries’ central bank digital currency adoption status and a country’s level of democracy and public confidence in governance, and a negative association between regulatory quality and income inequality. There was no significant association between countries’ central bank digital currency adoption status and their level of network readiness, foreign exchange reserves, and sustainable development goal rank. Thus, we posit that a country that is highly democratic and has good governance adopts central bank digital currencies more readily than others. Based on our findings, we suggested areas for additional research and highlighted policy considerations related to the wider adoption of central bank digital currency.
This paper investigates the dynamic relationship between cryptocurrency uncertainty indices and the movements in returns and volatility across spectrum of financial assets, comprising cryptocurrencies, precious metals, green bonds, and soft commodities. It employs a Time-Varying Parameter Vector Autoregressive (TVP-VAR) connectedness approach; the analysis covers both the entire sample period spanning August 2015 to 31 December 2021 and the distinct phase of COVID-19 pandemic. The findings of the study reveal the interconnectedness of returns within these asset classes during the COVID-19 pandemic. In this context, cryptocurrency uncertainty indices emerge as influential transmitters of shocks to other financial asset categories and it significantly escalates throughout the crisis period. Additionally, the outcomes of the study imply that during times of heightened uncertainty, exemplified by events such as the COVID-19 pandemic, the feasibility of portfolio diversification for investors might be constrained. Consequently, the amplified linkages between financial assets through both forward and backward connections could potentially compromise financial stability. This research sheds light on the impact of cryptocurrency uncertainty on the broader financial market, particularly during periods of crisis. The findings have implications for investors and policymakers, emphasizing the need for a comprehensive understanding of the interconnectedness of financial assets and the potential risks associated with increased interdependence. By recognizing these dynamics, stakeholders can make informed decisions to enhance financial stability and manage portfolio risk effectively.
Chung Seok Han, Majid Lotfi Ghahroud, Min Jae Park, Jalil Ghassemi Nejad
This article proposes a new decentralized asset investment and energy certificate platform: BIC (Blockchain Investment Certificate) which has a Korean patent for its new solution. The platform combines features of decentralized exchanges (DEX), crowdfunding, token economies, and insurance to provide a secure and efficient marketplace for buying and selling energy assets, including renewable energy certificates such as carbon credits. Decarbonization of energy systems has been a recent trend after 2020 where large-scale renewable energy sources (RES) are integrated into the power industry. The new business model and platform in this article offer unique solutions for investors, small and medium-sized enterprises (SMEs), and the overall economy. With its decentralized structure and innovative features, the platform has the potential to accelerate the transition to a low-carbon economy and promote sustainable investment practices. In addition, this platform provides a simple way to offset carbon footprints and support clean energy initiatives, contributing to the fight against climate change. Also, this platform not only supports the renewable energy market, encouraging the generation of renewable electricity on a larger scale but enables businesses to use renewable electricity without investing in costly facilities like solar panels, making renewable energy more accessible. Furthermore, this novel energy certificate platform facilitates the choice of exactly where to buy renewable energy, whether locally or from different regions in different countries, offering flexibility and increasing renewable energy adoption
Bu çalışmanın amacı COVID-19 pandemisi döneminde yatırımcı kararlarında meydana gelen değişimleri pandemi öncesi ve sonrası dönemler şeklinde ortaya koyarak finansal sistem içerisinde yer alan ve etkilenen tarafların kararlarında yol gösterici veriler ortaya koymak ve literatüre katkıda bulunmaktır. Çalışma Türkiye örneği üzerinden COVID-19 pandemisi öncesi ve sonrasını içerecek şekilde ve en son güncel değerlerle 01/01/2018-24/02/2023 dönemini kapsamaktadır. Analizler Toda-Yamamoto prosedürünü Fourier fonksiyonu (FTY) ile zenginleştiren bir nedensellik testi kullanılarak yapılmıştır. Çalışma yapılan dönem Chow yapısal kırılma testi ile dört alt döneme ayrılmıştır. Çalışmada USD, Altın (AU) ve Bitcoin değişkenleri ile BIST 100 endeksi arasındaki nedensellik ilişkisi analiz edilmiştir. Yapılan analiz sonuçları pandemi öncesi ve sonrası dönemin birbirinden oldukça farklı nedensellik ilişkileri ortaya koyduğunu, pandeminin ilk şok dalgasında altının güvenli liman özelliğinin ortaya çıktığını, devam eden pandemi sürecinde ise altının bu özelliğini kaybettiği ve ele alınan tüm değişkenler arasındaki nedenselliklerin belirginleştiği görülmüştür. Pandemi sonrası dönemde ise pandemi öncesi döneme kıyasla sadece altının aynı şekilde tek taraflı nedensellik ilişkisine sahip olduğu diğer değişkenler olan USD ve Bitcoin’in BIST100 değişkeniyle nedensellik ilişkisinin tamamen kaybolduğu görülmüştür. Çalışma kriz dönemlerinin her bir aşamasında yatırımcı davranışlarının analiz edilmesi açısından literatüre önemli bir katkı sunmaktadır.
Sitara Karim, Brian M. Lucey, Muhammad Abubakr Naeem, Larisa Yarovaya
Abstract The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time‐varying optimal copula and extreme risk spillover analysis of dynamic conditional Value‐at‐Risk. We report significant symmetric (asymmetric) tail‐dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe‐haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID‐19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues.
The pressing issues of climate change and the limited availability of non-renewable energy resources have created a growing need for sustainable energy alternatives. This study provides a comprehensive overview of the pressing need for sustainable energy solutions and the complex relationship between energy and the economy. The challenges and opportunities presented by the transition to sustainable energy sources are explored, including the need for investment in renewable energy technologies, policy changes to incentivize sustainable energy use, and the potential for job creation in the sustainable energy sector. On the other hand, it is recognized that there are considerable hurdles that need to be addressed, including the substantial initial expenses associated with establishing renewable energy systems, as well as the political and societal barriers to enacting change. The economic benefits of transitioning to sustainable energy, such as improved energy security, reduced dependence on fossil fuels, and the potential for increased economic growth, are evaluated. The complex relationship between energy and the economy is thoroughly analyzed, presenting a valuable contribution to the academic literature on sustainable energy. Furthermore, an inquiry is being made into the potential contribution of blockchain technology in advancing a sustainable energy landscape. This includes its ability to augment the effectiveness and openness of energy markets, as well as its capacity to assist in the assimilation of renewable energy resources. Hence, this research underscores the importance of transitioning to sustainable energy sources for their environmental and economic merits. The findings presented offer valuable insights to inform policy decisions and guide future research endeavors in this field. By promoting the advancement of sustainable energy technologies, this study contributes to the development of a more sustainable global economy.
Small and medium enterprises (SMEs) are essential in developing the world economy. However, they face financing distress due to high information asymmetry and lack of collateral and credit. From the enterprises’ sustainable development perspective in the big data era, this study explores whether and how blockchain technology can alleviate the information asymmetry problems of SMEs and further improve the convenience of accessing finance. Blockchain technology’s decentralized, unchangeable, and transparent natures can reduce information asymmetry between SMEs and the financing parties. SMEs become more creditable to the bank with a more transparent share of businesses’ operation information and financial conditions based on blockchain. At the same time, market investors can also learn more about the operation of corporate funds. Overall, this study provides new insights on how to use blockchain technology to increase SMEs’ development efficiency by lessening information asymmetry, reducing the cost of equity and bond financing for SMEs, and effectively reducing SMEs’ financing difficulties in this age of big data.
Purpose- Seasonal Affective Disorder (SAD) which arises during the winter when there are fewer daylight hours is a form of the major depressive disease. SAD affects most of the financial markets. Since there is scarce research on the relationship between SAD and cryptocurrency returns, this study is aimed to examine the impact of SAD on green cryptocurrencies. To the best of the author’s knowledge, this is the first study that investigates the relationship between SAD and the returns of green cryptocurrencies, so the study is expected to fill the gap in the related literature. Methodology- Cardano (ADA), Tron (TRX), and Stellar (XLM) are considered for the analysis, which covers the period spanning from January 2018 to March 2023. The multiple regression model has been implemented by including dummies for autumn, Mondays, and tax-loss selling. A specific location must be specified for the latitude information to determine how many hours are spent at night. The latitude of New York City is considered for that calculation because the majority of cryptocurrency users are concentrated in the USA. Findings- The findings demonstrate that the SAD, autumn, Monday, and tax-loss selling effects have no impact on green cryptocurrencies. Due to the worldwide spread of cryptocurrency investors, these effects are probably mitigated. Conclusion- According to the results, arbitrageurs are unable to benefit from generating abnormal returns using seasonal return patterns. Future studies might use non-linear techniques, change the location that is considered when calculating latitude, and include more cryptocurrencies in their examinations. Keywords: Seasonal affective disorder, cryptocurrencies, green finance, behavioral finance, anomalies. JEL Codes: G10, G40, G41
Purpose This study aims to empirically examine how blockchain, one of the emerging Industry 4.0 technologies, can combat climate change by improving their green innovation performance, particularly under conditions of policy uncertainty. Design/methodology/approach This study utilizes the difference-in-difference-in-difference (DDD) method to explore the effect of blockchain on enterprises' green innovation performance. The analysis is based on data from Chinese-listed enterprises spanning the period from 2013 to 2021. Findings First, the adoption of blockchain in enterprises registered in areas designated as low-carbon pilot cities can significantly improve their green innovation performance. Second, the enhancement of green innovation efficiency emerges as the primary driving force behind the adoption of blockchain, thereby leading to improved green innovation performance. Lastly, it is observed that blockchain adoption has a greater positive impact on improving green efficiency in private enterprises compared to state-owned enterprises in China. Practical implications For managers, the findings can provide valuable insights to help them better prepare for the challenges and opportunities presented by the era of Industry 4.0. For policymakers, this study offers valuable insights into the interaction between new technologies in Industry 4.0 and the performance of green innovation, thereby aiding in the formulation of effective policies. Originality/value This study contributes to bridging the existing gap between the adoption of new technologies, such as blockchain, and their potential impact on climate change. Moreover, this research enriches practitioners' understanding of how new technologies in the era of Industry 4.0 can be applied to address significant challenges like climate change.
Muneer Shaik, Mustafa Raza Rabbani, Youssef Tarek Nasef, Umar Nawaz Kayani · 5 authors
In this study, we investigate the dynamic volatility connectedness of fintech, innovative technology communication, and cryptocurrency indices for the period from June 2018 to June 2022. We investigate the connectivity and risk spillovers before and after the COVID-19 period to understand the volatility fluctuations by employing the dynamic connectedness measures based on TVP-VAR methodology. We find that volatility connectedness is strong among the Fintech, and cryptocurrency indices and it increase further during uncertainty caused due to COVID-19 pandemic & also during escalations of Russian-Ukraine war period compared to the pre-pandemic levels. We identify the net transmitters and net recipients of volatility among the fintech, innovative technology communication, and cryptocurrency indices. We observe that spillovers among the variables under study are dynamic in nature and shift from net recipients to net transmitters of volatility and viceversa during different time periods Our study has beneficial implications for policymakers, regulators, investors, and financial market constituents to redevelop their existing strategies and understand the fourth industrial revolution and new economies' indices to avoid financial losses during the financial markets’ turmoil.
The study investigates the relationship between the returns of Non-Fungible Tokens (NFT) and its categories; and fear indices during times of crisis. The fear indices considered are Global Fear Index (GFI), Global Economic Policy Uncertainty Index (GEPU), Twitter based Economic Uncertainty Index (TEU), Global Consumer Confidence Index (CCI), Infectious Diseases Equity Market Volatility Index (IDEMV) and Crypto Volatility Index (CVI). Employing Granger Causality Test, Autoregressive Distributed Lag technique and ARDL Bounds test on data for the period starting 1st February 2020 and ending 28th February 2022, it is found that short run association exists between TEU, CVI and NFT returns. Further, GFI leads NFT Art returns while TEU leads NFT Metaverse returns by lag 5 and lag 2 respectively. No association between fear metrics and NFT Collectible, NFT Game and NFT utility is observed. No long run association in found between NFT returns and fear indices except TEU which influences NFT returns. It is concluded that NFT, NFT Art and NFT Metaverse returns have positive association to at least one fear index during times of turmoil, especially for the short run.
John W. Goodell, John W. Goodell, Miklesh Prasad Yadav, Junhu Ruan · 7 authors
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.
The study aims to investigate the causality relationship between investor happiness and cryptocurrency returns. The study is focused on the five largest cryptocurrencies, specifically Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Ripple (XRP), and Cardano (ADA). Twitter-based Happiness Index is used to measure investor happiness. The sample period covers the period between January 1, 2019, and October 2, 2021. The Zivot-Andrews test is employed to detect stationary of covariates. After ensuring that all variables are stationary at levels, the Granger causality test is adopted to understand the relationship between the happiness index and cryptocurrency returns. The impulse-response functions are illustrated. The results indicate that there is a uni-directional relationship from BTC to Happiness Index, and Happiness Index to ETH. Considering that the causal relationship between cryptocurrency returns and investor happiness differs between cryptocurrencies, it is thought that investors should closely monitor the happiness index and make adjustments in their portfolios in response to changes in investor happiness.