Clean energy indices and brown assets: an analysis of tail risk spillovers through the VAR for VaR model

Angelini, Eliana; Birindelli, Giuliana; Chiappini, Helen; Foglia, Matteo

doi:10.1080/20430795.2022.2105788

Cited by 11 publications

(6 citation statements)

References 58 publications

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“…The issue of environmental and sustainability concerns stemming from the elevated energy consumption of cryptocurrencies has garnered the attention of policymakers and market participants, as evidenced by different research conducted by [32], [33], and [34]. The present study examined the potential of clean energy stock indexes to function as protective assets or safe havens in the context of dirty assets.…”

Section: Studies Related To Research On Safe Haven Properties Of Clea...mentioning

confidence: 97%

Clean Energy Stocks: Resilient Safe Havens in the Volatility of Dirty Cryptocurrencies

Dias¹,

Alexandre²,

Teixeira³

et al. 2023

Preprint

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Green investors have expressed concerns about the environment and sustainability due to the high energy consumption involved in cryptocurrency mining and transactions. This article investigates the safe haven characteristics of clean energy stock indexes in relation to 3 cryptocurrencies, taking into account their respective levels of "dirty" energy consumption from May 16, 2018, to May 15, 2023. By virtue of analyzing a tumultuous era in the global economy, the level of integration between clean energy stock indexes and cryptocurrencies will be inferred by using Gregory and Hansen's methodology. Furthermore, to assess the presence of a volatility spillover effect between clean energy stock indexes and “dirty-classified” cryptocurrencies, the ?-test of heteroscedasticity of two samples from Forbes and Rigobon will be employed. The empirical findings show that clean energy stock indexes may offer a viable safe haven for dirty energy cryptocurrencies. However, the precise associations differ depending on the cryptocurrency under examination. The implications of the study's results are significant for investment strategies, this knowledge can inform decision-making procedures and facilitate the adoption of sustainable investment practices. Investors and policymakers can gain a deeper understanding of the interplay between investments in renewable energy and the cryptocurrency market.

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Section: Studies Related To Research On Safe Haven Properties Of Clea...mentioning

confidence: 97%

Clean Energy Stocks: Resilient Safe Havens in the Volatility of Dirty Cryptocurrencies

Dias¹,

Alexandre²,

Teixeira³

et al. 2023

Preprint

View full text Add to dashboard Cite

show abstract

“…The issue of environmental and sustainability concerns stemming from the elevated energy consumption of cryptocurrencies has garnered the attention of policy makers and market participants, as evidenced by different research conducted in [33,35,36]. The present study examined the potential of clean energy stock indexes to function as protective assets or safe havens in the context of dirty assets.…”

Section: Studies Related To Research On Safe Haven Properties Of Clea...mentioning

confidence: 98%

“…The present study examined the potential of clean energy stock indexes to function as protective assets or safe havens in the context of dirty assets. The authors of [35] conducted an investigation into the dependence of clean energy markets on dirty assets, namely oil and Bitcoin, during a period lasting from 2011 to 2019. The authors show a notable degree of integration in terms of spillover effects, lagged returns, risks, and extreme events that affect both clean energy markets and oil prices.…”

Section: Studies Related To Research On Safe Haven Properties Of Clea...mentioning

confidence: 99%

Clean Energy Stocks: Resilient Safe Havens in the Volatility of Dirty Cryptocurrencies

et al. 2023

View full text Add to dashboard Cite

Green investors have expressed concerns about the environment and sustainability due to the high energy consumption involved in cryptocurrency mining and transactions. This article investigates the safe haven characteristics of clean energy stock indexes in relation to three cryptocurrencies, taking into account their respective levels of “dirty” energy consumption from 16 May 2018 to 15 May 2023. The purpose is to determine whether the eventual increase in correlation resulting from the events of 2020 and 2022 leads to volatility spillovers between clean energy indexes and cryptocurrencies categorized as “dirty” due to their energy-intensive mining and transaction procedures. The level of integration between clean energy stock indexes and cryptocurrencies will be inferred by using Gregory and Hansen’s methodology. Furthermore, to assess the presence of a volatility spillover effect between clean energy stock indexes and “dirty-classified” cryptocurrencies, the t-test of the heteroscedasticity of two samples from Forbes and Rigobon will be employed. The empirical findings show that clean energy stock indexes may offer a viable safe haven for dirty energy cryptocurrencies. However, the precise associations differ depending on the cryptocurrency under examination. The implications of this study’s results are significant for investment strategies, and this knowledge can inform decision-making procedures and facilitate the adoption of sustainable investment practices. Investors and policy makers can gain a deeper understanding of the interplay between investments in renewable energy and the cryptocurrency market.

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“…The studies by the authors (Angelini et al, 2022;Arfaoui et al, 2023;Ren and Lucey, 2022) explore the environmental and sustainability implications of the high energy consumption of cryptocurrencies, analysing whether clean energy stock indices can function as hedging assets against "dirty" assets. The authors (Angelini et al, 2022) identify financial contagion between clean energy and oil prices, with symmetrical and asymmetrical effects before the Paris Agreement. The authors (Ren and Lucey, 2022) indicate that clean energy does not act as a hedge for cryptocurrencies but can be considered a weak safe haven during market conditions, especially for "dirty" cryptocurrencies.…”

Section: Literature Reviewmentioning

confidence: 99%

Side Effects and Interactions: Exploring the Relationship between Dirty and Green Cryptocurrencies and Clean Energy Stock Indices

Dias,

Chambino,

Galvão

et al. 2024

IJEEP

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This study aimed to assess whether renewable energy cryptocurrencies such as Cardano (ADA), Ripple (XRP), IOTA (MIOTA), and Stellar (XLM) can be considered hedging assets and safe havens for cryptocurrencies classified as "dirty", such as Bitcoin Cash (BCH), Bitcoin (BTC) Litcoin (LTC), Ethereum (ETH), Ethereum Classic (ETC) and the clean energy stock indices WILDERHILL Clean Energy (ECO) and Clean Energy Fuels (CLNE), from July 6, 2018, to July 6, 2023. The results show that the movements decreased significantly during the Stress period, which includes the events of 2020 and 2022. The Cardano cryptocurrency shows moderate movements, indicating stability and diversification, while Stellar shows moderate movements that suggest resilience. Conversely, XRP shows varied movements, requiring some caution, while IOTA stands out for significant movements associated with sustainable assets. These results interest players operating in these markets when they want to diversify and rebalance their portfolios.

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Clean energy indices and brown assets: an analysis of tail risk spillovers through the VAR for VaR model

Cited by 11 publications

References 58 publications

Clean Energy Stocks: Resilient Safe Havens in the Volatility of Dirty Cryptocurrencies

Clean Energy Stocks: Resilient Safe Havens in the Volatility of Dirty Cryptocurrencies

Clean Energy Stocks: Resilient Safe Havens in the Volatility of Dirty Cryptocurrencies

Side Effects and Interactions: Exploring the Relationship between Dirty and Green Cryptocurrencies and Clean Energy Stock Indices

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