The spillover effects and connectedness among green commodities, Bitcoins, and US stock markets: Evidence from the quantile VAR network


Khalfaoui R., Ben Jabeur S., Dogan B.

JOURNAL OF ENVIRONMENTAL MANAGEMENT, vol.306, 2022 (Journal Indexed in SCI) identifier identifier identifier

  • Publication Type: Article / Article
  • Volume: 306
  • Publication Date: 2022
  • Doi Number: 10.1016/j.jenvman.2022.114493
  • Title of Journal : JOURNAL OF ENVIRONMENTAL MANAGEMENT
  • Keywords: Green commodity, Bitcoin, Network analysis, Uncertainty, Spillover connectedness, CROSS-CORRELATION, EFFICIENT TESTS, ENERGY, DEPENDENCE, SOLAR

Abstract

Several economic and financial crises, as well as the recent health crisis, have driven major shock spillover channels over stock markets. While various empirical studies have explored risk transmission among financial markets, this study examined the shock spillover network across green markets, including the energy, solar, wind, water, and environment markets, as well as Bitcoins, uncertainty, and the US stock market. Indeed, this paper is the first study to ascertain whether green commodities, Bitcoins, and uncertainty are connected to the US stock market. Using the quantile vector autoregressive (VAR) connectedness framework, the key findings are as follows: (i) A static spillover network showed there was high spillover transfer between markets at extreme market states. (ii) Global green economy and global clean energy markets act as the highest contributors of information spillover under bearish market scenarios. (iii) With regard to dynamic connectedness, this work highlights the asymmetric spillover effect of green commodities, Bitcoins, and uncertainty on the US stock market. (iv) Bitcoin (BTC), uncertainty, and global carbon indexes were found to be net receipts of shock spillovers, while most green commodities acted as net contributors. (v) Significant implications for environmental and financial investors as well as policymakers are provided.