Bitcoin and crypto-mining stocks: A quantile connectedness approach

Imran Yousaf; Yasir Riaz; Frank Li; Imran Yousaf; Yasir Riaz; Frank Li

doi:10.3934/GF.2025017

Green Finance

2025, Volume 7, Issue 3: 450-480. doi: 10.3934/GF.2025017

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Research article

Bitcoin and crypto-mining stocks: A quantile connectedness approach

1.
College of Business Administration, Prince Sultan University, Riyadn, Saudi Arabia
2.
Ulster University Business School, Ulster University, Belfast, United Kingdom
3.
Department of Finance, Ivey Business School, Western University, London, Canada
4.
International Business School Suzhou, Xi'an Jiaotong-Liverpool University, Suzhou, China

Received: 05 March 2025 Revised: 15 June 2025 Accepted: 03 July 2025 Published: 28 July 2025
JEL Codes: C58, F36, G11, G15

In this paper, we studied the extreme connectedness between Bitcoin and crypto-mining stocks using the quantile connectedness approach of Ando et al. (2022). We estimated the connectedness (i.e., the direction and strength of spillover effects) at the median, extreme lower, and extreme upper quantiles. Our results revealed a highly interconnected system, with Bitcoin identified as a net transmitter of shocks. RIOT and MARA also emerged as major net transmitters in the system, while GREE and NILE were net receivers. The spillover effects were more pronounced during extreme market conditions compared to normal conditions. Moreover, the connectedness of the system progressively increased, peaking in 2021 when China banned crypto-mining. The extreme and dynamic connectedness identified in this study offers valuable insights for investors regarding hedging strategies and portfolio allocation, as well as for regulators focused on financial stability and systemic risk.
- Bitcoin,
- crypto-mining,
- stock market,
- quantile connectedness,
- spillover
Citation: Imran Yousaf, Yasir Riaz, Frank Li. 2025: Bitcoin and crypto-mining stocks: A quantile connectedness approach, Green Finance, 7(3): 450-480. doi: 10.3934/GF.2025017

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Abstract

In this paper, we studied the extreme connectedness between Bitcoin and crypto-mining stocks using the quantile connectedness approach of Ando et al. (2022). We estimated the connectedness (i.e., the direction and strength of spillover effects) at the median, extreme lower, and extreme upper quantiles. Our results revealed a highly interconnected system, with Bitcoin identified as a net transmitter of shocks. RIOT and MARA also emerged as major net transmitters in the system, while GREE and NILE were net receivers. The spillover effects were more pronounced during extreme market conditions compared to normal conditions. Moreover, the connectedness of the system progressively increased, peaking in 2021 when China banned crypto-mining. The extreme and dynamic connectedness identified in this study offers valuable insights for investors regarding hedging strategies and portfolio allocation, as well as for regulators focused on financial stability and systemic risk.

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