Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war

被引：38
|
作者：
Goodell, John W. [1 ]
Yadav, Miklesh Prasad [2 ]
Ruan, Junhu [3 ]
Abedin, Mohammad Zoynul [4 ]
Malhotra, Nidhi [5 ]
机构：
[1] Univ Akron, Coll Business, Akron, OH USA
[2] Indian Inst Foreign Trade, Kakinada Campus, Kakinada, India
[3] Northwest A&F Univ, Coll Econ & Management, Xianyang, Peoples R China
[4] Swansea Univ, Sch Management, Dept Accounting & Finance, Bay Campus,Fabian Way, Swansea SA1 8EN, Wales
[5] Lal Bahadur Shastri Inst Management, Delhi, India
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
Connectedness; Traditional asset; Digital asset; Diversification; Volatility; Renewable energy; Portfolio management; DeFi; NFT;
D O I：
10.1016/j.frl.2023.104323
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：8
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