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Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic

Murad Harasheh et al.

Journal of Energy Markets2023https://doi.org/10.21314/jem.2023.026article
AJG 1
Weight
0.51

What the paper says

The Covid-19 pandemic affected financial markets in several ways, influencing the dynamics of the relationships between asset classes. We investigate the connectedness between cryptocurrencies and international energy markets from 2018 to 2021 using the time-varying parameter vector autoregression approach. Net total directional connectedness suggests that the cryptocurrency and energy indexes had heterogeneous roles. Bitcoin and Ripple coin were the net receivers of shocks, while Ethereum switched from receiver to transmitter. The US energy market was a persistent net transmitter of shocks, while Asian energy markets were consistent net shock receivers. Pairwise connectedness reveals that cryptocurrencies can explain the volatility of the energy markets during the difficult period of the pandemic at the beginning of 2020. We provide insights for portfolio optimization and policy implications.

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https://doi.org/https://doi.org/10.21314/jem.2023.026

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@article{murad2023,
  title        = {{Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic}},
  author       = {Murad Harasheh et al.},
  journal      = {Journal of Energy Markets},
  year         = {2023},
  doi          = {https://doi.org/https://doi.org/10.21314/jem.2023.026},
}

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Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic

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Evidence weight

0.51

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.41 × 0.4 = 0.17
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.