The annual energy consumption of cryptocurrencies has been increasing in recent years. This paper studies the cryptocurrencies return volatility spillover and the underlying dynamics of five cryptocurrencies, namely Bitcoin, Bitcoin Cash, Ethereum, Ripple XRP and Litecoin's impact on four energy markets, namely Nifty Energy Index, S&P 500 Energy Index, S&P/TSX Canadian Energy Index and Shanghai Stock Exchange Energy Index for the period 2016–2021. We employed the Granger Causality Test and DCC MGARCH model to investigate the integration between cryptocurrencies and the energy markets. From the empirical analyses, we find that the overall time-varying correlation between cryptocurrencies and the energy markets is low and weak. This study may be helpful for investors, academia and policymakers.

中文翻译：

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加密货币与能源市场之间的关联：波动溢出分析

近年来，加密货币的年能耗一直在增加。本文研究了比特币、比特币现金、以太坊、瑞波币 XRP 和莱特币五种加密货币的回报波动溢出和潜在动态对四个能源市场的影响，即 Nifty Energy Index、S&P 500 Energy Index、S&P/TSX Canadian Energy Index和 2016-2021 年期间的上海证券交易所能源指数。我们采用格兰杰因果关系检验和 DCC MGARCH 模型来研究加密货币与能源市场之间的整合。从实证分析中，我们发现加密货币与能源市场之间的整体时变相关性低且弱。这项研究可能对投资者、学术界和政策制定者有所帮助。