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Spillover Effects of Cryptocurrency Volatility on Green Finance

Iulia Cristina Iuga et al.

Engineering Economics2025https://doi.org/10.5755/j01.ee.36.2.37916article
ABDC B
Weight
0.37

Abstract

This study investigates the risk spillover between clean and dirty cryptocurrencies and their impact on green finance indexes (solar, wind, and nuclear energy) and regional economic indexes (Baltic Dry Index and CRB Index), with data processed using the diagonal BEKK model. The results identify several dirty cryptocurrencies such as: Ethereum Cash (ETC), Litecoin (LTC), and Bitcoin (BIT) as potential diversifiers and hedges with specific green energy and economic indexes. Our findings show that news from the cryptocurrency markets predominantly have a positive, significant effect on the covariance with green finance indices. The study also presents the covolatility spillover effect, showcasing the impact of a return shock in one market, such as the cryptocurrency market or the green finance market, on the co-volatility between markets, including regional economic indices like the Baltic Dry Index and CRB Index. The analysis reveals differential spillover patterns between clean and dirty cryptocurrencies and various green finance indices, highlighting the complexity of their interactions and the varying degrees of influence on regional economic indicators.

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https://doi.org/https://doi.org/10.5755/j01.ee.36.2.37916

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@article{iulia2025,
  title        = {{Spillover Effects of Cryptocurrency Volatility on Green Finance}},
  author       = {Iulia Cristina Iuga et al.},
  journal      = {Engineering Economics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.5755/j01.ee.36.2.37916},
}

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Evidence weight

0.37

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

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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