Asymmetric connectedness between Ethereum and sustainable digital assets: A Quantile-on-Quantile analysis
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Abstract
This study examines the dynamic connectedness between sustainable cryptocurrencies and Ethereum using the Quantile-on-Quantile Connectedness (QQC) methodology. The dataset consists of daily observations covering the period from April 19, 2019 to September 12, 2025. The analysis focuses on Cardano (ADA), IOTA, and Stellar (XLM), which are known for their high energy efficiency and environmentally sustainable blockchain architectures. Owing to its ability to measure the interactions between transmitting and receiving variables across different distributional quantiles, the QQC approach enables a detailed assessment of the direction and magnitude of information spillovers, particularly under extreme market conditions such as stress episodes or liquidity shortages. The findings indicate that Ethereum acts predominantly as a systemic net transmitter across most quantile levels, while Cardano and IOTA serve as net receivers, especially within medium and high quantiles. Stellar exhibits limited connectedness during low-volatility market regimes. Overall, the results suggest that the information transmission dynamics of sustainable crypto assets are highly sensitive to Ethereum’s market influence, highlighting the increasing role of energy-efficient blockchain ecosystems in the broader digital finance landscape. The findings are important for portfolio managers in terms of making asset allocation decisions by taking into account the risk and diversification potential of sustainable cryptocurrencies relative to Ethereum.
Keywords
Abstract
This study examines the dynamic connectedness between sustainable cryptocurrencies and Ethereum using the Quantile-on-Quantile Connectedness (QQC) methodology. The dataset consists of daily observations covering the period from April 19, 2019 to September 12, 2025. The analysis focuses on Cardano (ADA), IOTA, and Stellar (XLM), which are known for their high energy efficiency and environmentally sustainable blockchain architectures. Owing to its ability to measure the interactions between transmitting and receiving variables across different distributional quantiles, the QQC approach enables a detailed assessment of the direction and magnitude of information spillovers, particularly under extreme market conditions such as stress episodes or liquidity shortages. The findings indicate that Ethereum acts predominantly as a systemic net transmitter across most quantile levels, while Cardano and IOTA serve as net receivers, especially within medium and high quantiles. Stellar exhibits limited connectedness during low-volatility market regimes. Overall, the results suggest that the information transmission dynamics of sustainable crypto assets are highly sensitive to Ethereum’s market influence, highlighting the increasing role of energy-efficient blockchain ecosystems in the broader digital finance landscape. The findings are important for portfolio managers in terms of making asset allocation decisions by taking into account the risk and diversification potential of sustainable cryptocurrencies relative to Ethereum.
