Return volatility connectedness and portfolio strategies among sustainable assets with traditional counterparts and cryptocurrency: Insights from extreme markets

This study employs novel quantile time-frequency connectedness approach to explore the dynamic connectedness among sustainable assets (sustainable, green bond, and clean energy index), traditional assets (traditional index and crude oil), and cryptocurrency. This method assesses the impact of uncertain events on asset relationships. Findings indicate median connectedness of 36.94% in the short run and 4.81% in the long run, with short-term dynamics dominating system transmission. The traditional index is the primary transmitter of short-run shocks, while the green bond index leads in long-run shocks. Diversification across asset classes is recommended for effective hedging and optimal returns during extreme market conditions.

Authors

Institutions

Publication Details

Journal
IIMB Management Review
Published
2025-08-15
DOI
https://doi.org/10.1016/j.iimb.2025.100596
Citations
2
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
6.26
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Return volatility connectedness and portfolio strategies among sustainable assets with traditional counterparts and cryptocurrency: Insights from extreme markets

Deepti Singh, Satyaban Sahoo
2 citations
IIMB Management Review
Market Dynamics and Volatility
6.26
article

Return volatility connectedness and portfolio strategies among sustainable assets with traditional counterparts and cryptocurrency: Insights from extreme markets

Deepti Singh, Satyaban Sahoo
article en
2 citations

Abstract

This study employs novel quantile time-frequency connectedness approach to explore the dynamic connectedness among sustainable assets (sustainable, green bond, and clean energy index), traditional assets (traditional index and crude oil), and cryptocurrency. This method assesses the impact of uncertain events on asset relationships. Findings indicate median connectedness of 36.94% in the short run and 4.81% in the long run, with short-term dynamics dominating system transmission. The traditional index is the primary transmitter of short-run shocks, while the green bond index leads in long-run shocks. Diversification across asset classes is recommended for effective hedging and optimal returns during extreme market conditions.

IIMB Management ReviewVol. 37(3)
Manipal Academy of Higher Education (IN), Manipal University Jaipur
Openalex Percentile: Top 4%
Market Dynamics and Volatility
6.26
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

Return volatility connectedness and portfolio strategies among sustainable assets with traditional counterparts and cryptocurrency: Insights from extreme markets — Deepti Singh, Satyaban Sahoo · IIMB Management Review (2025) | TGRS Research Map | TGRS