Interconnection between cryptocurrencies and energy markets: an analysis of volatility spillover
Mohd Afjal, Kavya Clanganthuruthil Sajeev
Abstract
Abstract The annual energy consumption of cryptocurrencies has been increasing in recent years. This paper studies the cryptocurrencies return volatility spillover and the underlying dynamics of five cryptocurrencies, namely Bitcoin, Bitcoin Cash, Ethereum, Ripple XRP and Litecoin's impact on four energy markets, namely Nifty Energy Index, S&P 500 Energy Index, S&P/TSX Canadian Energy Index and Shanghai Stock Exchange Energy Index for the period 2016–2021. We employed the Granger Causality Test and DCC MGARCH model to investigate the integration between cryptocurrencies and the energy markets. From the empirical analyses, we find that the overall time‐varying correlation between cryptocurrencies and the energy markets is low and weak. This study may be helpful for investors, academia and policymakers.