This study examines return and volatility connectedness among green cryptocurrencies to gain insights into their systemic risk transmission, interdependence and overall market behaviour.
The study used daily closing prices from April 1, 2019 to March 31, 2025. Closing prices for green cryptocurrencies, including Cardano, IOTA, Stellar, Tezos and VeChain, were sourced from Investing.com. The TVP-VAR frequency-connectedness approach was employed to analyse the data.
The empirical findings reveal greater return connectedness than volatility connectedness among green cryptocurrencies. Further results indicate that Cardano is a significant transmitter of return and volatility shocks, whereas Tezos is the smallest transmitter of return shocks and Stellar is the smallest transmitter of volatility shocks. Further, the findings indicate that return spillovers are predominantly characterised by short-run, fast-moving dynamics, whereas volatility spillovers exhibit greater persistence over the long term.
This study enhances the understanding of systemic interdependence in sustainable digital asset markets and provides practical guidance for investors, policymakers and portfolio managers seeking effective hedging and risk management strategies. From a portfolio diversification perspective, distinguishing between short-run and long-run connectedness can help investors focus on the individual markets examined in the study, thereby constructing more efficient portfolios.
This study offers a significant contribution by concentrating exclusively on green cryptocurrencies, a sector that has been largely overlooked in the literature on financial connectedness. It is among the first to employ the TVP–Frequency Connectedness framework in this market, providing more detailed insight into short- and long-term spillover dynamics.
