Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329234 
Year of Publication: 
2024
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 12 [Issue:] 11 [Article No.:] 307 [Year:] 2024 [Pages:] 1-21
Publisher: 
MDPI, Basel
Abstract: 
With the advent of greening the global economy and the introduction of green financial assets, this study examines the connectedness and spillover effect of green assets using a QVAR approach focusing on the average connectedness and connectedness under extreme market conditions. The time of the study captures the crucial global incidents of COVID-19 and Russia-Ukraine war to investigate the effect of major incidents on the connectedness of green assets. The results of the QVAR analysis reveal that green assets are moderately connected under normal market conditions; however, their connection is strengthened under extreme market conditions. IOTA and SP Green Bonds are the net receivers of shocks from other assets, and SP Green Bonds are connected to green energy indices and green cryptocurrencies during turbulent markets. Since green cryptocurrencies are closely connected, a lower portion of them should be added to portfolios, whereas SP Green Bonds qualify as a good diversifying agent in a portfolio. The study has significant implications for market participants, investors, and policymakers.
Subjects: 
green assets
green cryptocurrency
green energy
green bonds
dynamic connectedness
QVAR
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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