Energy cryptocurrencies emerge as a new class of digital assets for morally conscientious investors to build long-term portfolios with high risk-adjusted returns. Focusing on this unique asset class, the current study investigates the static and dynamic spillovers between energy cryptocurrencies and US equity sector stocks at various quantiles. We apply the quantile VAR technique on the selected sample of four energy cryptocutrrencies and eleven major US equity markets for February 27, 2018 to November 25, 2022. This period includes two important subperiods: COVID-19 and the Russian-Ukraine War. Our findings support higher connectedness levels at the extreme lower and upper quantiles compared to the mean and median quantiles. While all energy cryptocurrencies are shock receivers at the extreme lower quantile, the majority of US equity sector stocks are shock transmitters at the lower quantile. The IT sector is a shock receiver at all quantiles, whereas the energy sector is a shock transmitter. Overall connectedness fluctuates over time and shows a significant rise at the start of the COVID period. Our results provide insights to investors, portfolio managers, and policymakers regarding portfolio allocation, forecasting, and risk management during downward and upward market conditions. Additionally, the ideal hedge ratios slightly increased during the COVID-19 pandemic, which increased the cost of asset coverage.

中文翻译：

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能源加密货币与美国股市之间的联系：基于分位数的分析


能源加密货币作为一类新型数字资产出现，供有道德意识的投资者建立具有高风险调整后回报的长期投资组合。针对这一独特的资产类别，目前的研究调查了能源加密货币与美国股票行业股票之间不同分位数的静态和动态溢出效应。我们对 2018 年 2 月 27 日至 2022 年 11 月 25 日的 4 个能源加密和 11 个主要美国股票市场的选定样本应用分位数 VAR 技术。这一时期包括两个重要的子时期：COVID-19 和俄乌战争。与平均值和中位数分位数相比，我们的研究结果支持极低分位数和上限分位数的更高连通性水平。虽然所有能源加密货币都是极低分位数的冲击接收器，但大多数美国股票板块股票都是较低分位数的冲击发射器。IT 部门在所有分位数上都是冲击接收器，而能源部门是冲击发射器。整体连通性会随着时间的推移而波动，并在 COVID 时期开始时表现出显着上升。我们的结果为投资者、投资组合经理和政策制定者提供了有关市场下行和上涨条件下的投资组合配置、预测和风险管理的见解。此外，在 COVID-19 大流行期间，理想的对冲比率略有增加，这增加了资产覆盖成本。