The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFis, and Cryptos. We examined the extreme risk transmission of block-chain markets using the quantile connectedness technique at...

Surmounted environmental concerns and energy challenges have created an augmented awareness among the public and policymakers about alternate energy resources. Using a network approach, this paper aims to investigate the dependence between cryptocurrencies and the alternative energy market using...

Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this , we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR)....

The motivation of this study stems from the United Nations Sustainable Development Goals on clean and responsible energy consumption, climate change mitigation and sustainable economic growth (UN-SDGs-7, 11, 12 and 13). To this end, the present study examines the impact of institutional quality...

The fundamental precept of “sin” stocks relates to higher return premiums, whereas ethical investments are pitched towards meeting environmental, social, and moral concerns of investors. Fostering this argument, the current study examines quantile coherencies among sin stocks, ethical...

Amidst heightened global uncertainties, increased financial contagions and fading diversification benefits, we examined and compared the hedge and safe-haven features of US Dollar and Bitcoin against the downside risk of regional stock indices of Asia, Pacific, Europe, and America. For the...

Concerns around the financing of illicit activities (drug and human trafficking, child abuse, cybercrimes) through Bitcoin are increasing the ethical risk of investors. Building on this argument, the current study investigates the extreme tail dependence between Bitcoin and Emerging Asian...

Green bonds and financial markets underline severe extreme dependence due to uncertain economic and financial circumstances. Time-varying optimal copula (TVOC) is a unique methodology that provides useful copula information under different time series, underscoring several regimes following...

This paper scrutinises systemic (tail) risk using a novel method and extensive global dataset. We avail long time-series data from 65 international markets to analyse the connectedness as well as determinants of expected shortfall (up to the 5th percentile). Trans-national tail risk network is...