Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine

Abstract

Motivated by the recent bifurcation between environmental-friendly and non-friendly cryptocurrencies, we examine the spillovers between Green-Dirty cryptocurrencies and socially responsible investments (SRI) during the war in Ukraine. We find significant changes in the connectedness between pre- and during-war scenarios. The magnitude of spillovers and respective roles of each crypto and SRI evolve during the war. Ethereum is consistently an essential player in the return and volatility shock transmission. Interestingly, the SRIs and green cryptocurrencies switch roles between the receiver and transmitter of shocks more frequently. The results offer important implications for socially responsible investors, portfolio managers, and other financial market participants.