A tale of two tails among carbon prices, green and non-green cryptocurrencies

【Author】 Pham, Linh; Karim, Sitara; Naeem, Muhammad Abubakr; Long, Cheng

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This paper studies the tail dependence among carbon prices, green and non-green cryptocurrencies. Using daily closing prices of carbon, green and non-green cryptocurrencies from 2017 to 2021 and a quantile connectedness framework, we find evidence of asymmetric tail dependence among these markets, with stronger dependence during highly volatile periods. Moreover, carbon prices are largely disconnected from cryptocurrencies during periods of low volatilities, while Bitcoin and Ethereum exhibit time-varying spillovers to other markets. Our results also show that green cryptocurrencies are weakly connected to Bitcoin and Ethereum, and their net connectedness are close to 0, except during the COVID-19 pandemic. Finally, we find a significant influence of macroeconomic and financial factors on the tail dependence among carbon, green and non-green cryptocurrency markets. Our results highlight the time-varying diversification benefits across carbon, green and non-green cryptocurrencies and have important implications for investors and policymakers

【Keywords】Dirty cryptocurrency; Carbon prices; Tail dependence; Green cryptocurrency

【发表时间】2022 JUL

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币