JIMS 8M The Journal of Indian Management and Strategy
Web of Science
  • Year: 2025
  • Volume: 30
  • Issue: spl

Crypto Meets Green Finance: Assessing the Role of Bitcoin & Ethereum in ESG Portfolio Diversification in India

1Research Scholar, Haryana School of Business, Guru Jambheshwar University of Science & Technology, Hisar, Haryana

2Professor, Haryana School of Business, Guru Jambheshwar University of Science & Technology, Hisar, Haryana

Online Published on 10 April, 2026.

Abstract

This study examines whether combining Bitcoin (BTC) and Ethereum (ETH) with Indian ESG indices, specially NIFTY 100 ESG and NIFTY 100 Enhanced ESG, can enhance portfolio diversification. The analysis evaluates how digital assets contribute to sustainable investment strategies through their return dynamics, volatility behaviour, and portfolio efficiency.

The study employs daily data from 2016 to 2024 and utilizes an extensive econometric framework comprising Spearman correlation, Johansen cointegration, VECM, DCC-GARCH, and Granger causality tests. Risk-adjusted performance is evaluated using Sharpe, Sortino, and Value-at-Risk (VaR) metrics. Subsequently, Markowitz’s mean-variance optimization is employed to determine the optimal asset allocations.

The results indicate weak correlations and limited volatility spillovers between cryptocurrencies and ESG indices, confirming their potential for diversification. While long-run cointegration suggests equilibrium linkages, the absence of short-term causality highlights market independence. Portfolio optimisation reveals that ESG assets dominate in stability, while moderate crypto exposure enhances overall efficiency.

This study fills the gap between crypto and sustainable finance with providing information on how to build resilient and risk-adjusted portfolios in an emerging market.

Keywords

Cryptocurrency, ESG Indices, Diversification, Volatility Spillover, Portfolio Optimization, India, C32, G11, G15, Q56