Tail dependence between bitcoin and green financial assets

被引：197
作者：
Naeem, Muhammad Abubakr [1 ]
Karim, Sitara [2 ]
机构：
[1] Univ Coll Dublin, Smurfit Grad Sch Business, Dublin, Ireland
[2] ILMA Univ, Fac Management Sci, Dept Business Adm, Karachi, Pakistan
来源：
ECONOMICS LETTERS | 2021年 / 208卷
基金：
爱尔兰科学基金会;
关键词：
Bitcoin; Green financial assets; Tail dependence; Copulas; VOLATILITY; MARKET;
D O I：
10.1016/j.econlet.2021.110068
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页数：5
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