Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/321688 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 12 [Issue:] 1 [Article No.:] 2437002 [Year:] 2024 [Pages:] 1-36
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and CRB Index). Employing the diagonal BEKK model and the DCC GARCH model, the study spans data from February 17, 2020, to September 30, 2024, to analyze how cryptocurrencies, categorized by their environmental impact, influence these indices. The results reveal significant volatility spillovers from both clean and dirty cryptocurrencies, with clean cryptocurrencies such as Cardano showing a stabilizing effect, while dirty cryptocurrencies like Bitcoin exhibit more pronounced and asymmetric volatility impacts on green finance indices. Furthermore, the persistent correlations identified through the DCC GARCH model highlight the dynamic relationships between cryptocurrency markets and green finance, suggesting that shocks in cryptocurrency volatility can significantly affect the financial dynamics of renewable energy investments. These insights are valuable for portfolio diversification and risk management, indicating that certain cryptocurrencies may serve as effective hedging instruments against risks in green finance. This study contributes to a deeper understanding of the interaction between digital financial assets and sustainable investments, offering practical implications for investors, financial managers, and policymakers committed to achieving Sustainable Development Goals (SDGs).
Schlagwörter: 
Covolatility
cryptocurrency
DCC GARCH
diagonal BEKK model
economic indices
green finance
JEL: 
G15
G17
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Dokumentart: 
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