Mohammad Enamul Hoque, Rabeh Khalfaoui, Arturo Leccadito, Sami Mejri
Sustainability and innovative assets, including technology stocks, blockchain- and AI-related investments are increasingly emerging in the contemporary investment landscape. Despite their growing importance, the interconnectedness and risk dynamics between these asset classes, especially under varying market conditions, remain underexplored. Combining quantile-on-quantile connectedness analysis with quantile-on-quantile regression techniques and incorporating global uncertainty factors such as the VIX and Financial Stress Index (FSI), this study investigates the market state-dependent and tail risk connectivity between five sustainability and seven innovative assets. Additionally, the DCC GARCH R2 decomposed connectedness approach and multivariate portfolio analysis are employed to provide comprehensive insights into spillover effects and optimal allocation strategies. A strong connectedness between sustainability and most innovative assets is found, particularly during extreme market conditions. Notably, the Blockchain index exhibits unique resilience and lower integration with ESG indices, often acting as a net transmitter of shocks, especially during market downturns. The study also reveals that financial stress and stock market volatility significantly moderate these relationships, highlighting the importance of considering such factors for robust investment strategies. The findings suggest that sustainability assets can serve as safe havens, while blockchain assets may offer diversification benefits due to their lower interconnectedness with ESG markets. This research underscores the need for dynamic asset allocation strategies that adapt to evolving market conditions and interconnectedness. © 2025 Elsevier Ltd
BRAC Business School, BRAC University, Dhaka, 1212, Bangladesh; Faculty of Economics and Business, Universitas Negeri Padang, Padang, Indonesia; ICN Business School, Universite de Lorraine, CEREFIGE, Nancy, F-5400, France; Department of Economics, Statistics and Finance, University of Calabria, Ponte Bucci, CS, Rende, 87036, Italy; LFIN/LIDAM, Université Catholique de Louvain, Voie du Roman Pays 34, Louvain-la-Neuve, 1348, Belgium; University of Tunis El Manar, University of Management Sciences and Economics, Tunisia
