Spillover Connectedness Between Cryptocurrency and Energy Sector: An Empirical Investigation Under Asymmetric Exogenous Shocks of Health and Geopolitical Crisis and Uncertainties

Investigating the spillover connectedness between cryptocurrency and energy sector from the perspective of the investigation under asymmetric exogenous shocks of health and geopolitical crisis and uncertainties still represents in the contemporary global and highly competitive economy a very actual research topic, despite the numerous corpus of literature. This article aims to explore the spillover connectedness between cryptocurrency and the energy sector in order to unveil the empirical perspectives and impact under asymmetric exogenous shocks of health and geopolitical crisis and uncertainties during a 3-year period (from January 23, 2020, to March 21, 2023). They were considered the eight largest cryptocurrencies by market capitalization, along with Brent oil, natural gas, and the S&P 500 energy index for the energy sector, while also incorporating new cases and new deaths caused by COVID-19 around the world. Contrary to previous research, our findings reveal unidirectional relationships between cryptocurrencies and the energy sector as well as between COVID-19 variables. In addition, the contagion index provides insights into the shocks that cryptocurrencies received from the energy sector and COVID-19. The findings of this study provide significant implications for policy makers, investors, and regulators. In conclusion, the crypto market is evolving rapidly, and a global regulatory framework will bring order to the markets, contributing to increasing consumer confidence by setting limits on what is allowed and providing a safe space.