Spillover Effects of Cryptocurrency Volatility on Green Finance

Iulia Cristina Iuga; Raluca Andreea Nerisanu; Larisa-Loredana Dragolea

doi:10.5755/j01.ee.36.2.37916

Authors

Iulia Cristina Iuga Department of Finance-Accounting, “1 Decembrie 1918” University of Alba Iulia, Romania
Raluca Andreea Nerisanu Lucian Blaga University of Sibiu in Romania
Larisa-Loredana Dragolea Department of Business Administration and Marketing, “1 Decembrie 1918” University of Alba Iulia, Romania

DOI:

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

Keywords:

Co-Volatility, Cryptocurrency, Green Finance, Economic Indexes, Diagonal BEKK Model, Spillover Effects

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.

Author Biographies

Iulia Cristina Iuga, Department of Finance-Accounting, “1 Decembrie 1918” University of Alba Iulia, Romania

Iulia Cristina Iuga holds a PhD in Finance (2002) from Babeş-Bolyai University from Cluj Napoca, Romania, and a B.S. in Marketing (1997) from Bucharest Academy of Economic Studies, Romania. She has been working in the Finance-Accounting Department at “1 Decembrie 1918” University of Alba Iulia since 1999, and she teaches banking and investment disciplines. Her publications are found in the following fields of science: banking, investment, and marketing, and she has written over 15 books and over 150 articles. She is a member of the editorial boards of specialized publications and an ARACIS expert (The Romanian Agency for Quality Assurance in Higher Education) - Finance field. ORCID iD: 0000-0002-2831-3055.

Raluca Andreea Nerisanu, Lucian Blaga University of Sibiu in Romania

Raluca Andreea Nerișanu is an academic and economist affiliated with Lucian Blaga University of Sibiu in Romania, where she completed her Ph.D. in Economic Cybernetics and Statistics in 2023. Her research centres on economic analysis, sustainability, and innovation through data science methodologies. She has made significant contributions to high-impact journals, covering topics like creative education, market analysis, and sustainable development. Also, she actively participates in secondary education as an economics professor and draws on her practical expertise from a background in financial analysis and accounting. Her research achievements have garnered several UEFISCDI awards (Executive Unit for the Financing of Higher Education, Research, Development and Innovation). ORCID iD: 0000-0002-4650-9406

Larisa-Loredana Dragolea, Department of Business Administration and Marketing, “1 Decembrie 1918” University of Alba Iulia, Romania

Larisa-Loredana Dragolea works as an Associate Professor in the Business Administration and Marketing Department at „1 Decembrie 1918” University of Alba Iulia, Faculty of Science. Her research and teaching interests encompass topics such as human resource management (HRM), business management, quality management, and tourism. Her research portfolio includes numerous scholarly publications in peer-reviewed journals, conference proceedings, and collaborative projects at both national and international levels. In addition to her academic endeavors, she actively mentors students, guiding them in their academic and professional development. Her passion for teaching and research is complemented by her dedication to fostering a culture of excellence and collaboration in higher education. ORCID iD: 0000-0002-3780-1018