This study delves into the intricate relationship between environmentally friendly cryptocurrencies, often termed ‘green cryptocurrencies,’ and traditional energy sources, commonly referred to as ‘dirty fuels’, by employing Copula-CoVaR methodology, along with evaluating hedge ratios and the effectiveness of hedging strategies. This research aims to uncover the dynamics of risk and return spillovers between these two distinct asset classes. Our findings reveal significant spillovers of extreme returns, indicating a complex interplay between green cryptocurrencies and dirty fuels. Contrary to the popular decoupling hypothesis, which suggests that green assets operate independently of traditional investment assets, our results demonstrate a notable linkage. The hedging benefits of using these assets reciprocally are found to be minimal, challenging the notion of their effectiveness as standalone diversification tools in an investment portfolio. These insights not only extend the scope of research in the realm of green digital assets but also highlight crucial implications for investors, regulatory bodies, and risk managers. This research underscores the need for a nuanced understanding of the relationship between emerging green digital assets and conventional energy sources, redefining the boundaries of green investment strategies and risk management practices.

中文翻译：

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绿色加密货币与传统能源之间的相互依赖性和风险管理策略


本研究采用 Copula-CoVaR 方法，深入研究了环保型加密货币（通常被称为“绿色加密货币”）与传统能源（通常被称为“肮脏燃料”）之间的复杂关系，并评估了对冲比率和对冲有效性策略。本研究旨在揭示这两种不同资产类别之间风险和回报溢出的动态。我们的研究结果揭示了极端回报的显着溢出效应，表明绿色加密货币和肮脏燃料之间存在复杂的相互作用。流行的脱钩假说认为绿色资产独立于传统投资资产运作，与此相反，我们的结果显示出显着的联系。人们发现，相互使用这些资产的对冲收益微乎其微，这对它们作为投资组合中独立多元化工具的有效性概念提出了挑战。这些见解不仅扩大了绿色数字资产领域的研究范围，还凸显了对投资者、监管机构和风险管理者的重要影响。这项研究强调需要细致入微地了解新兴绿色数字资产与传统能源之间的关系，重新定义绿色投资策略和风险管理实践的界限。