Tail dependence between bitcoin and green financial assets

【Author】 Naeem, Muhammad Abubakr; Karim, Sitara

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】The high power consumption of Bitcoin transactions has raised environmental and sustainable concerns of green investors and regulatory bodies. We utilize the time-varying optimal copula (TVOC) approach to showcase the dependence structure between bitcoin and green financial assets. We find multiple tail-dependence regimes characterize the extreme dependence between bitcoin and green financial assets, and the dependence structure is mainly asymmetric and time-varying. Finally, the hedging effectiveness of green financial assets for bitcoin revealed that all green assets, especially clean energy, are effective hedges for bitcoin. (C) 2021 The Author(s). Published by Elsevier B.V.

【Keywords】Bitcoin; Green financial assets; Tail dependence; Copulas

【发表时间】2021 NOV

【收录时间】2022-01-01

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