Green cryptocurrencies and portfolio diversification in the era of greener paths

buir.contributor.authorSensoy, Ahmet
buir.contributor.orcidSensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage114137-29en_US
dc.citation.spage114137-1
dc.citation.volumeNumber191
dc.contributor.authorAli, Fahad
dc.contributor.authorKhurram, M. U.
dc.contributor.authorSensoy, Ahmet
dc.contributor.authorVo, X. V.
dc.date.accessioned2024-03-11T06:58:13Z
dc.date.available2024-03-11T06:58:13Z
dc.date.issued2024-03
dc.departmentDepartment of Management
dc.description.abstractThe shift towards cleaner fuels from hydrocarbons has influenced nearly all market types and asset classes, and cryptocurrencies are no exception. The complex mechanism of blockchain and mining consumes high levels of electricity and surges environmental footprints in electronic waste generation. Existing studies that examine green and sustainable investments are limited to sustainable equities or green bonds; therefore, this study opens up a new research direction by considering green (energy-efficient) cryptocurrencies. First, this study develops a four-step screening process to systematically select cryptocurrencies that are greener than others. A comprehensive set of green and non-green assets and a battery of empirical tests are then employed to examine the diversification benefits of selected green cryptocurrencies against several well-diversified equity portfolios at the global, regional, and country levels. The diversification benefits of green cryptocurrencies are compared with non-green cryptocurrencies using (i) the four-moment modified value at risk and conditional value at risk, (ii) four different portfolio optimization strategies, and (iii) dynamic correlation-based hedge and safe-haven regression analyses. The results show that green cryptocurrencies provide diversification benefits that are at least comparable to, and in some cases, superior to, non-green (energy-intensive) cryptocurrencies. Cardano and Tezos are identified as green cryptocurrencies offering the most diversification benefits to investors, followed by EOS, Steller, and IOTA. This study provides valuable insights to investors and policymakers, specifically those concerned with achieving sustainability and ESG-compliance (environmental-social-governance) goals and seeking green assets to hedge and diversify various traditional investments.
dc.description.provenanceMade available in DSpace on 2024-03-11T06:58:13Z (GMT). No. of bitstreams: 1 Green_cryptocurrencies_and_portfolio_diversification_in_the_era_of_greener_paths.pdf: 23477563 bytes, checksum: f38cfba0528d4ae92023072ba40acfd6 (MD5) Previous issue date: 2024-03en
dc.identifier.doi10.1016/j.rser.2023.114137
dc.identifier.eissn1879-0690
dc.identifier.issn1364-0321
dc.identifier.urihttps://hdl.handle.net/11693/114476
dc.language.isoen_US
dc.publisherElsevier Ltd
dc.relation.isversionofhttps://doi.org/10.1016/j.rser.2023.114137
dc.rightsCC BY 4.0 Deed (Attribution 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by/2.0/
dc.source.titleRenewable & Sustainable Energy Reviews
dc.subjectCryptocurrencies
dc.subjectGreen cryptocurrency
dc.subjectSustainable cryptocurrency
dc.subjectGreen investment
dc.subjectSustainable finance
dc.subjectCapital market line
dc.subjectDCC-GARCH
dc.subjectDownside risk
dc.subjectPortfolio diversification
dc.subjectEfficient frontier
dc.subjectExpected shortfall
dc.subjectFour-moment model
dc.subjectHedging ability
dc.subjectPortfolio optimization
dc.subjectSafe haven
dc.subjectValue at risk
dc.titleGreen cryptocurrencies and portfolio diversification in the era of greener paths
dc.typeArticle

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