The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios

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  • Caner Ozdurak Department of İstanbul Financial Center, Presidency of the Republic of Türkiye Finance Office, Istanbul, Turkey
  • Alican Umut Department of Aviation Management, Nişantaşı University, Istanbul, Turkey
  • Tugba Ozay Head of Strategy and, Icrypex Crypto Exchange, Istanbul, Turkey



Cryptocurrencies, Portfolio optimization, Markowitz, Spillover, VAR-VECH-TARCH


Cryptocurrencies have gained high interest from media, regulatory authorities, and both retailer and institutional investors especially in the COVID-19 pandemic followed by a tremendous academic interest. Classification of cryptos as an asset is one important issue while another crucial topic is the significantly high return and volatility fluctuations which does not make life easier for portfolio investors. High energy consumption to produce cryptos and carbon emission issues are also not developing the favor of cryptocurrencies. Moreover, in financial literature recent studies show that prices of renewable energy stocks have long-term cointegrating relationship with technology companies. In this context first we employ an asymmetric VAR-GARCH model to study spillover effects between major crypto-currencies, clean energy, and technology indices. Using daily data of the two major cryptocurrencies for the period of 1/1/2016 and 30/09/2021, we relate risk and return of different mean-variance portfolio strategies to Bitcoin (BTC), Etherium (ETH), S&P Global Clean Energy Index (SPGCE) and MSCI World Information Technology Index (MSCIWIT). Secondly, we apply the Markowitz mean-variance framework to assess risk-return benefits of cryptocurrency-portfolios. Our main goal is to offer optimal portfolio allocation approaches including cyptocurrencies with traditional financial assets. We will combine cryptocurrencies, clean energy, and technology indices to maximize return and Sharpe ratio. Furthermore, we will use our asymmetric VAR-GARCH models results to understand and cross check the Markowitz portfolio allocation results in details.


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How to Cite

Ozdurak, C., Umut, A., & Ozay, T. (2022). The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios. International Journal of Energy Economics and Policy, 12(2), 480–490.