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RESEARCH @ IIMV

Research Publications

Unveiling the crypto-green nexus: A risk management
and investment strategy approach through the lens
of NFTs, DeFis, green cryptocurrencies, and green
investments

Ritesh Patel , Sanjeev Kumar , Shalini Agnihotri

North American Journal of Economics and Finance (ABDC-B)
This study focuses to examine the connectedness among the Green
Investments, NFTs, DeFis & Green Cryptocurrencies, along with the
portfolio diversification and hedging potential of the Green Investment
against the other investments. We examined the connectedness
using the Quantile VAR and Wavelet Quantile Correlation method,
indicating the existence of the partial connectedness among the
selected assets. The connectedness among the assets changes due
to change in global uncertainty caused by Covid-19 and Russia-
Ukraine war. The green investment offers the hedging benefits to
other green investment. Among all crypto assets, Dai serve as a good

hedge for the green investment and other crypto assets. MCoP is best
performing portfolio with Sharpe ratio, followed by MCP. However,
the investment as per MCoP and MCP approaches increases the
volatility of green assets. Further, the hedging benefits are varying
with the changing global dynamics. None of the approach gives
positive cumulative return and Sharpe ratio to the investors during
the Russia-Ukraine war period. Our study has implications for the
investors and portfolio managers with respect to portfolio framing
and fund allocation.

Click here to read the paper.

Capital infusions and Bank risk-taking behaviour

Vijaya Marisetty, Mohammed Shoeb
Pacific Basin Finance Journal (ABDC-A)

Despite theoretical predictions on the ill effects associated with
capital infusions, the Global Financial Crisis (GFC) brought them into
mainstream banking around the world. Empirical evidence on capital
infusions during GFC supports the existence of moral hazard problem.
However, what is not clear is whether the increase in bank risk post-
capital infusions is due to an increase in bank risk-taking behaviour
(moral hazard) or simply reflects an increase in the average firm-
level risk due to poor economic conditions. We try to disentangle this

6 VOL.6/ ISSUE 1, SEP-DEC 2024