Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach

Emmanuel Joel Aikins Abakah; Sahib Hossain; Mohammad Abdullah; John W. Goodell

doi:10.1016/j.frl.2023.104693

Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach

Emmanuel Joel Aikins Abakah
, Sahib Hossain
, Mohammad Abdullah
, John W. Goodell

University of Ghana Business School
Universiti Sultan Zainal Abidin
The International University of Scholars
University of Akron

Research output: Contribution to journal › Article › peer-review

18 Citations (Scopus)

Abstract

We investigate the interconnectedness between the US electricity market and cryptocurrency, NFTs, and DeFi markets, while considering the conditioning effect of uncertainty factors. We employ an R² connectedness approach to analyze the shock transmission mechanism and results reveal significant connectedness among these markets with varying degrees of asymmetry in return spillovers. Notably, the US electricity market acts as a receiver of shocks. Further, global uncertainty factors positively influence interconnectedness. Findings provide valuable insights for policymakers and market participants to manage risks and promote a sustainable and resilient ecosystem between the blockchain and electricity markets.

Original language	English
Article number	104693
Journal	Finance Research Letters
Volume	59
DOIs	https://doi.org/10.1016/j.frl.2023.104693
Publication status	Published - Jan 2024
Externally published	Yes

Keywords

Cryptocurrency
DeFi
Model-free connectedness approach
NFTs
US electricity market

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10.1016/j.frl.2023.104693

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title = "Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach",

abstract = "We investigate the interconnectedness between the US electricity market and cryptocurrency, NFTs, and DeFi markets, while considering the conditioning effect of uncertainty factors. We employ an R2 connectedness approach to analyze the shock transmission mechanism and results reveal significant connectedness among these markets with varying degrees of asymmetry in return spillovers. Notably, the US electricity market acts as a receiver of shocks. Further, global uncertainty factors positively influence interconnectedness. Findings provide valuable insights for policymakers and market participants to manage risks and promote a sustainable and resilient ecosystem between the blockchain and electricity markets.",

keywords = "Cryptocurrency, DeFi, Model-free connectedness approach, NFTs, US electricity market",

author = "Abakah, \{Emmanuel Joel Aikins\} and Sahib Hossain and Mohammad Abdullah and Goodell, \{John W.\}",

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doi = "10.1016/j.frl.2023.104693",

language = "English",

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T1 - Global uncertainty factors and price connectedness between US electricity and blockchain markets

T2 - Findings from an R-square connectedness approach

AU - Abakah, Emmanuel Joel Aikins

AU - Hossain, Sahib

AU - Abdullah, Mohammad

AU - Goodell, John W.

PY - 2024/1

Y1 - 2024/1

N2 - We investigate the interconnectedness between the US electricity market and cryptocurrency, NFTs, and DeFi markets, while considering the conditioning effect of uncertainty factors. We employ an R2 connectedness approach to analyze the shock transmission mechanism and results reveal significant connectedness among these markets with varying degrees of asymmetry in return spillovers. Notably, the US electricity market acts as a receiver of shocks. Further, global uncertainty factors positively influence interconnectedness. Findings provide valuable insights for policymakers and market participants to manage risks and promote a sustainable and resilient ecosystem between the blockchain and electricity markets.

AB - We investigate the interconnectedness between the US electricity market and cryptocurrency, NFTs, and DeFi markets, while considering the conditioning effect of uncertainty factors. We employ an R2 connectedness approach to analyze the shock transmission mechanism and results reveal significant connectedness among these markets with varying degrees of asymmetry in return spillovers. Notably, the US electricity market acts as a receiver of shocks. Further, global uncertainty factors positively influence interconnectedness. Findings provide valuable insights for policymakers and market participants to manage risks and promote a sustainable and resilient ecosystem between the blockchain and electricity markets.

KW - Cryptocurrency

KW - DeFi

KW - Model-free connectedness approach

KW - NFTs

KW - US electricity market

UR - https://www.scopus.com/pages/publications/85178153455

U2 - 10.1016/j.frl.2023.104693

DO - 10.1016/j.frl.2023.104693

M3 - Article

AN - SCOPUS:85178153455

SN - 1544-6123

VL - 59

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 104693

ER -

Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach

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Keywords

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