Abstract In this paper, we study the return and volatility connectedness between cryptocurrencies and DeFi Tokens, considering the impact of different uncertainty indices on their connectivity. Initially, we estimate a TVP‐VAR model to obtain the total connectedness between the two markets. We find that returns on the cryptocurrencies transmit significantly larger shocks and, thus, are responsible for most variations in the majority of DeFis' returns. Then, to analyse the impact of uncertainty on total return and volatility connectedness, we use four factors, namely, Economic Policy Uncertainty (EPU), The Chicago Board Options Exchange Volatility Index (VIX), Infectious Disease Equity Market Volatility Tracker (ID‐EMV) and Geopolitical Risks (GPR). We find that except for geopolitical risks, all three measures have a positive impact on return and volatility connectedness, while GPR exerts a negative impact. Finally, we provide implications for researchers, market participants and policymakers.
Carbon dioxide emissions are a major cause of climate change and its negative impacts on the environment and human well-being. To address this problem, a blockchain-based decentralized system for carbon emission trading is proposed, allowing anyone to trade carbon allowances as a commodity. The proposed system leverages the advantages of blockchain technology, such as transparency, immutability, and security, to enable efficient and trustworthy transactions among peers without intermediaries. Additionally, the system provides flexibility by enabling customization of permits, represented as Non-Fungible Tokens, thereby enhancing market accessibility and engagement. A graph neural network for identity inference is introduced to infer the attributes of accounts on the blockchain, such as their type and behavior. This can help detect and prevent illegal or malicious activities on the chain, as well as understand and improve user behavior patterns and preferences. The aim is to increase market inclusiveness and diversity, reduce transaction costs and carbon price volatility, and enhance the traceability and verifiability of carbon emissions.
Bassam A. Ibrahim, Ahmed A. Elamer, Thamir Hamad Alasker, Marwa Ali Mohamed · 5 authors
Abstract The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market to traditional markets, focusing on gold and six major stock markets (Japan, USA, UK, China, Germany, and France) using daily data from January 2, 2011, to June 2, 2022, with 2958 daily observations. We employ DCC-GARCH, wavelet coherence, and cascade-correlation network models to analyze the relationship between Bitcoin and those markets. Our results indicate long-term volatility contagion between Bitcoin and gold and short-term contagion during periods of market turmoil and uncertainty. We also find evidence of long-term contagion between Bitcoin and the six stock markets, with short-term contagion observed in Chinese and Japanese markets during COVID-19. These results suggest a risk of uncontrollable threats from Bitcoin volatility and highlight the need for measures to prevent infection transmission to local stock markets. Hedge funds, mutual funds, and individual and institutional investors can benefit from using our findings in their risk management strategies. Our research confirms the utility of the cascade-correlation network model as an innovative method to investigate intermarket contagion across diverse conditions. It holds significant implications for stock market investors and policymakers, providing evidence for potentially using cryptocurrencies for hedging, for diversification, or as a safe haven.
In the context of the “dual carbon” strategy, how to leverage green finance to promote China's wind power industry is a hot topic. Unlike existing literature, this article uses a nonparametric additive model to investigate the impact and mechanism of green finance on wind power development. Research has found that green finance has an inverted U-shaped nonlinear impact on wind power development, indicating that green finance has a more prominent contribution to the wind power industry in the early stages. Further mechanism research indicates that green finance affects the wind power industry through foreign direct investment and green technology innovation. Specifically, with the relaxation of foreign direct investment conditions in the energy sector, the role of foreign direct investment in promoting the wind power industry more prominent in the later stages. In the early stages, government support was greater, and green technology patents grew rapidly, driving green technology innovation to have a more significant impact on the wind power industry. In addition, the impact of fiscal decentralization, wind power prices, and environmental regulations on the wind power industry also exhibits significant nonlinear characteristics. This article helps to comprehensively understand the mechanism and impact of green finance on wind power development, and provides a reliable basis for optimizing green finance policy and effectively promoting wind power.
Abstract This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also find that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the influence of NFTs on conventional currencies is more pronounced than that of volatility shock transmissions. The dynamic exercise reveals that the returns and volatility spillovers vary over time, largely increasing during the onset of the Covid-19 crisis, which deeply affected the relationship between NFTs and the conventional currencies markets. Our findings are useful for currency traders and NFT investors seeking to build effective cross-currency and cross-asset hedge strategies during systemic crises.
Van Le Thi Thuy, Tran Thi Kim Oanh, Nguyen Thi Hong Ha
Using the GJR-GARCH method, this study examines the safe-haven role of gold, US dollar, and Bitcoin over a period including the global financial crisis, the COVID-19 pandemic and the Russia-Ukraine conflict from 3 April 2006 to 19 May 2023. The study supports the hypothesis that the safe-haven role of assets changes over periods of crisis. Specifically, gold loses its role as a safe-haven asset during the COVID-19 pandemic, but this role has been restored in the Dutch, US and German markets during the Russia-Ukraine conflict. Similarly, Bitcoin is not a safe-haven asset during the COVID-19 pandemic but is a strong safe-haven asset for the stock markets of some European countries, and a weak safe-haven asset for China when the Russia-Ukraine conflict occurred. Only the USD acts as a stable safe-haven asset through periods of crisis. However, this role is weakened in Russia. These results partly help investors and portfolio managers choose a safe haven for their assets, especially during volatile market periods.
Based on China's provincial panel data from 2011 to 2020, this paper empirically analyzes the impact of digital financial inclusion(DFI) on regional energy consumption(ECI) using two-way fixed effects model, panel threshold effects model and instrumental variables regression. The results show that, firstly, DFI`s development has an obvious inhibitory effect on the intensity of regional energy consumption. Meanwhile, the heterogeneity analysis finds that there are obvious regional differences, differences in the degree of financial agglomeration and differences in their own dimensions in the inhibitory effect of DFI on regional energy consumption. Specifically, the energy-saving effect of digital finance is more obvious in the western region of China, in regions with a lower degree of financial agglomeration, and the strongest inhibitory effect is the breadth of digital inclusion coverage. In addition, the threshold effect analysis shows that the energy-saving effect of DFI not only increases with DFI`s development, but also exists in a non-linear pattern of significant "marginal increment" as the degree of economic decentralization increases. To this end, China should make greater efforts to develop DFI and optimize its industrial structure; formulate differentiated development policies that take into account the resource endowment, industrial structure and technological level of each region; and improve its macroeconomic governance system by taking into account the level of DFI`s development in the region, as well as the power of financial decision-making and financial management..
Hanan Ahmad Qudah, Sari Sulaiman Malahim, Rula Mustafa Airout, Mohammad Zakaria AlQudah · 7 authors
The advent of cryptocurrencies has provided both possibilities and problems in the sphere of long-term investing. As environmental, social, and governance (ESG) considerations acquire significance in the investing landscape, examining research trends and developments in unlocking the ESG value of sustainable investments in cryptocurrencies is critical. This work uses bibliometric analysis, a quantitative review approach, to comprehensively examine the scientific research outputs on this subject. The data for the analysis was gathered from the Web of Science Core Collection (WoS) database and then analyzed with the VOSviewer program. Only 59 of 784 keywords matched the preset threshold and were included in the study out of 1501 articles. The findings demonstrate the great attention paid by academics to subjects related to the ESG value of sustainable investment in cryptocurrencies between 2019 and 2022, with these topics addressed in 1133 articles and a total link strength of 1045. Furthermore, one notable study subject, with 302 citations from 2015 to 2023, is active ownership in the context of long-term cryptocurrency investments. This study issue has piqued the interest of many academics and has had a significant impact in the area.
Wajdi Frikha, Azza Béjaoui, Aurelio F. Bariviera, Ahmed Jeribi
This paper analyzes the connectedness between gold, wheat, and crude oil futures, Bitcoin, carbon emission futures, and international stock markets in the G7, BRICS, and Gulf regions with the outbreak of exogenous and unexpected shocks related to health, banking, and political crises. To this end, we use a wavelet-based method on the returns of different assets during the period 2 January 2019, to 21 April 2023. The empirical findings show that the existence of time-varying linkages between markets is well documented and appears stronger during the COVID-19 pandemic. However, it seems to diminish for some associations with the advent of the Russia-Ukraine War. The empirical results also show that investor risk perceptions measured by the VIX are negatively and substantially linked to stock markets in different regions. Other interesting findings emerge from the connectedness analysis with the outbreak of Silicon Valley bankruptcy. In particular, Bitcoin tends to regain its role as a safe-haven asset against some G7 stock markets during the bank crisis. Such findings can provide valuable insights for investors and policymakers concerning the relationship between different markets during different crises.
The purpose of the current paper is to propose new conceptual framework of oil price fluctuation on cryptocurrencies, the study analyze previous literature to evaluate the impact of energy prices and Cryptocurrencies return. The study suggest that analysis should extract the spam to conclude the period before, during and after corona pandemic. While suggestion to conduct weekly analysis to provide highly query and reliability of results. According to huge number of cryptocurrencies exploded onto the scene and has grown at an ever-increasing rate, the study propose to adopt only highest four crypto capital in 2023.Analyzes the daily returns of highly capital cryptocurrencies which are Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC), and their correlations with crude oil (COR), Brent crude (BCR), and natural gas (N GR). The data is analyzed using cointegration tests, ARDL methodology, bounds test, and E-views software to check the relationships between independent and dependent variables. The study aims to identify evidence of a long-term relationship between the variables and estimate the relationship in the short and long term.
Amro Saleem Alamaren, Korhan K. Gökmenoğlu, Nigar Taşpınar
Abstract This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four energy companies (Exxon Mobil, Chevron, ConocoPhillips, and Nextera Energy), and four mega-technology companies (Apple, Microsoft, Alphabet, and Amazon) in the US. We analyze data for the period November 15, 2017–October 28, 2022 using methodologies in Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Economet 16(2):271–296 2018). Our analysis shows the COVID-19 pandemic amplified volatility spillovers, thereby intensifying the impact of financial contagion between markets. This finding indicates the impact of the pandemic on the US economy heightened risk transmission across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility transmitters, while Tether, BNB, Exxon Mobil, Nextera Energy, Alphabet, and Amazon are net receivers Our results suggest that short-term volatility spillovers outweigh medium- and long-term spillovers, and that investors should be more concerned about short-term repercussions because they do not have enough time to act quickly to protect themselves from market risks when the US market is affected. Furthermore, in contrast to short-term dynamics, longer term patterns display superior hedging efficiency. The net-pairwise directional spillovers show that Alphabet and Amazon are the highest shock transmitters to other companies. The findings in this study have implications for both investors and policymakers.
Fintech applications are examined as catalysts for revolutionizing green finance, showcasing their capacity to streamline processes, facilitate transparent transactions, and provide personalized investment options. The functionalities of these applications are dissected, emphasizing their role in mitigating barriers such as information asymmetry and inefficiencies in fund distribution. Blockchain's decentralized ledger system is analyzed for its ability to enhance trust and transparency in sustainable investment. It highlights successful implementations of blockchain in sustainable finance, illuminating its practical benefits in overcoming limitations like fraud risk and reducing administrative costs. This research delves into the transformative potential of integrating financial technology (FinTech) and blockchain in green finance. By transcending traditional barriers, these technologies not only enrich the functionalities of applications but also open new horizons for sustainable investment, paving the way for a more resilient and environmentally conscious financial future.
Muneer Shaik, Mustafa Raza Rabbani, Mohd Atif, Ahmet Faruk Aysan · 6 authors
We investigate the dynamic volatility connectedness of geopolitical risk, stocks, bonds, bitcoin, gold, and oil from January 2018 to April 2022 in this study. We look at connectivity during the Pre-COVID, COVID, and Russian-Ukraine war subsamples. During the COVID-19 and Russian-Ukraine war periods, we find that conventional, Islamic, and sustainable stock indices are net volatility transmitters, whereas gold, US bonds, GPR, oil, and bitcoin are net volatility receivers. During the Russian-Ukraine war, the commodity index (DJCI) shifted from being a net recipient of volatility to a net transmitter of volatility. Furthermore, we discover that bilateral intercorrelations are strong within stock indices (DJWI, DJIM, and DJSI) but weak across all other financial assets. Our study has important implications for policymakers, regulators, investors, and financial market participants who want to improve their existing strategies for avoiding financial losses.
This article investigates the Ethereum Merge, which occurred on 15 September 2022, and we employ the time-series difference in differences (DiD) model and vector autoregression (VAR) models and analyse how the protocol change from proof-of-work to proof-of-stake (PoS) affects the dynamic relationship between cryptocurrency returns and network factors. The results show that the Merge caused a structural change between Ethereum and Bitcoin networks. The network factors of Ethereum show a significant increase compared to Bitcoin, the cointegration has been strengthened and the lag length is shortened after the Merge. The spillover effect on the Bitcoin network can be seen from both DiD and VAR, indicating the increasing impact of the Ethereum network on Bitcoin. The concern of losing the number of participants due to the implantation of PoS on cryptocurrency is not apparent on Ethereum Merge, and it increases the investors’ attention and involvement.