The impact of cryptocurrencies on China's carbon price variation during COVID-19: A quantile perspective

【Author】 Chen, Hao; Xu, Chao

【Source】TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE

【影响因子】10.884

【Abstract】We aim to document the impact of cryptocurrencies on China's carbon price variation using some quantile techniques during COVID-19 with the daily data spanning from August 7, 2015 to April 30, 2021. In this paper, we show that cryptocurrencies have a very strong explanation power for carbon market with the non-parametric causality-in-quantiles method. In addition, cryptocurrencies can work as a good hedging candidate for carbon market at different investment horizons with the quantile coherency approach. Using hedging effectiveness measure, we further show that COVID-19 can reverse the optimal hedging ratios in our portfolio specification in cryptocurrencies-carbon emission trading pairs while this pandemic does not have effects on the trading effectiveness. Finally, the heterogeneity and asymmetry features in the dynamic quantile-on-quantile effects are detected and the effects on carbon efficient index show relatively strong fluctuation while on carbon emission trading market are relatively strong in magnitude. Our empirical results conclude with many potential applications for policymakers and investors.

【Keywords】Cryptocurrencies; China's carbon price; Causality-in-quantiles; Quantile-on-quantile; Quantile coherency; COVID-19

【发表时间】2022 OCT

【收录时间】2022-10-17

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币