Financial connectedness and portfolio management across market segments: a Q-VAR analysis of blockchain-digital assets, conventional assets, and clean-dirty energy stocks

Purpose The study investigates the connectedness between blockchain-digital assets, conventional assets, clean-dirty energy stocks. Design/methodology/approach Quantile vector autoregressive (Q-VAR) modeling approach was employed, over the period spanning from November 9, 2017, to December 1, 2023. Findings Results show that the connectedness is much higher under bullish and bearish market conditions compared to those observed during stable periods. This indicates that the connectedness is reinforced, and shocks spread more strongly during episodes of market turmoil. Dynamic analysis of connectedness shows that the degree of connectedness is time-varying and strengthened during the period of COVID-19 outbreak. The findings also reveal evidence of similarity between the assets considered. The outcomes are robust to various choices. Practical implications Investors holding portfolios of blockchain-digital assets, conventional assets, and clean-dirty stocks should carefully monitor for changing market conditions, particularly during extreme market conditions. Originality/value To the best of our knowledge, the interplay of those specific assets remains largely unaddressed, especially when focusing on avenues of digital assets because of eco-friendly or faith-based investors who stand up for sustainability. Also, our study may be of great interest since capital markets have already been significantly disrupted by the COVID-19 health crisis, the current geopolitical tensions, and the global uncertainty that impacted the risk-return tradeoffs and stability of capital markets.