<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.
The digital world has become an inevitable part of daily life. With cryptocurrencies, a new investment opportunity has emerged around the globe. Extending digital life increases the energy demand. These new assets consume a considerable amount of energy resources. The mining process in particular can be significantly affected by energy prices. The purpose of this work is to reveal the impact of the oil price on mineable and non-mineable cryptocurrencies which would provide insight for policymakers, investors, miners, and portfolio managers. This research utilized a panel cointegration model and panel Granger causality tests to the daily data collected between May 11, 2021 and June 23, 2022. 15 mineable and 19 non-mineable cryptocurrencies were selected for the study. Other variables include the oil price, the VIX, and the gold price. The research indicated that there is a negative correlation between the oil price and cryptocurrencies. The VIX had a negative effect in the short term, whereas the gold price had a positive and significant correlation in the long term. The impact of the oil price on mineable cryptocurrencies was larger than that on non-mineable cryptocurrencies. This means that alternative energy resources are essential to reduce the dependency of cryptocurrencies on this type of fossil fuel.
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.
The ecological structure of the cryptocurrency market and its external environmental impact cannot be ignored. Taking Bitcoin as an example, the study analyzes the Bitcoin market during the COVID-19 pandemic crisis from an environmental perspective based on the differences in the political and economic systems of China and the United States. First, the institutional environment selected in this study is used as an indicator of environmental measurement and divided into formal and informal sectors. In the analysis, the former selects the economic policy uncertainty index of China, while the latter selects bitcoin’s social attention (including Google trends and the Baidu index) and investor sentiment as indicators. Second, financial market data such as foreign exchange and commodity futures are used as indicators for analyzing the environment of the bitcoin market. Using VAR modeling analysis, the results show that both the institutional and the market environment have an impact on bitcoin’s market performance.
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.
Purpose While an increasing number of investors value socially responsible investment practices, Bitcoin has faced criticism for its carbon footprint resulting from excessive mining power consumption. By examining Bitcoin’s interconnectedness with environmental, social and governance (ESG) equities, this study aims to construct a socially responsible investment strategy for cypto investors. Design/methodology/approach This study uses wavelet analysis and a time-varying parameter vector autoregressive (TVP-VAR) model to uncover the interdependence between ESG equities and Bitcoin. This study computes the optimal ratio, showing that Bitcoin significantly reduces portfolio risk when combined with green stocks. Findings The results show that co-movements between green stocks and Bitcoin are low, indicating that they are suitable combinations for portfolio diversification. From an environmental perspective, this investment strategy offers a theoretical solution to mitigate the negative impacts associated with Bitcoin mining. It aims to address the dilemma faced by sustainability-conscious investors, who must navigate the economic payoff of Bitcoin against their commitment to green investment principles. Practical implications The findings can provide valuable insights for policymakers seeking to develop strategies that promote sustainable investments among crypto investors. Originality/value Research on ethical investment practices in the cryptocurrency market remains in the early stages of development. Ethical investors can benefit from including Bitcoin in their ESG equity portfolios.
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.
Abstract This study analyses six major cryptocurrencies and four global stock markets to explore the role of cryptocurrencies as a hedge, safe haven, and diversifier in stock markets. The study employs ADCC‐GARCH and Wavelet Coherence Technique, using daily data from 4 January 2017 to 28 February 2023. The study has found that stock returns and unstable cryptocurrency returns have high volatility persistence in the long run. Besides, while unstable digital currencies (Bitcoin, Ethereum, Binance Coin, and Dogecoin) serve as a hedge during stable economic periods, they have not been a hedge during economic turmoil in the stock markets. Conversely, stablecoins (Tether and USD Coin) have been shown to have acted as a hedge during normal economic times and have offered a safe haven during economic downturns. Except for Tether, all cryptocurrencies' diversification capacity is time‐varying. In stable economic conditions, they serve as diversifiers, but during turmoil, they do not. However, Tether serves as a diversifier regardless of the financial situation. Finally, the present investigation is expected to offer crucial information on hedge, safe haven and diversification for quasi‐investors.
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.
Sumanjay Dutta, Parthajit Kayal, G. Balasubramnaian
This article investigates the dynamic relationship between cryptocurrencies and metals, examining the existence and direction of volatility spillovers. While previous studies have explored the relationships between different cryptocurrencies and between base metals and gold, there is a notable gap in understanding the volatility spillover nexus among cryptocurrencies. This study makes a significant contribution by employing the Time-Varying-Parameter-Vector-Autoregressive (TVP-VAR) total connectedness measure to assess the strength of association between these assets. Our analysis employs 10-year daily returns data for three cryptocurrencies (Bitcoin, Litecoin, and Ethereum) and two metals (Gold and Copper). As we witness major economic events worldwide, this study is particularly relevant, as it provides insights into potential hedging opportunities. To comprehend the risk contagion patterns, various measures of partial and dynamic connectedness are computed, supporting the earlier TVP-VAR analysis. The findings indicate that Litecoin and Ethereum exhibit a high level of connectedness, while Bitcoin remains relatively less connected. Among the metals, Gold and Copper demonstrate similar levels of connectedness in certain cases. Notably, there is a significant risk contagion between Litecoin and metals. These results hold essential implications for policy-makers and portfolio managers with different time horizons, offering valuable insights into risk contagion within the cryptocurrency and metal markets. JEL Codes: C32; G15; G17; G41