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arXiv · 2607.02852

Green Haven or Risky Venture? Exploring the Connectedness and Hedging of Sustainable Cryptocurrencies and Green Financial Markets

Chang Li·Rui Jiang·Hao Wu·Conghua Wen
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Abstract

Conventional cryptocurrency often leads to increased energy consumption and carbon emissions, while sustainable cryptocurrencies possess the potential to become a green alternative in portfolio management. This study aims to investigate the time-varying connectedness between sustainable cryptocurrency and green financial markets as well as hedging performance when facing market shocks, including COVID-19 and Russia-Ukraine war. TVP-VAR model with Fourier transform and Multivariate GARCH models are employed. The findings indicate that the pairwise connectedness between the sustainable cryptocurrencies and green financial markets has been at a low level, providing diversification benefits in investment portfolio. Besides, short-term connectedness dominates medium- and long-term connectedness. Sustainable cryptocurrencies show higher hedging effectiveness than traditional cryptocurrency.

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Chang Li, Rui Jiang, Hao Wu, Conghua Wen. 2026-07-03. Green Haven or Risky Venture? Exploring the Connectedness and Hedging of Sustainable Cryptocurrencies and Green Financial Markets. https://arxiv.org/abs/2607.02852

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