TY - JOUR
T1 - A tale of two tails among carbon prices, green and non-green cryptocurrencies
AU - Pham, Linh
AU - Karim, Sitara
AU - Naeem, Muhammad Abubakr
AU - Long, Cheng
N1 - Publisher Copyright:
© 2022 Elsevier Inc.
PY - 2022/7
Y1 - 2022/7
N2 - 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.
AB - 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.
KW - Carbon prices
KW - Dirty cryptocurrency
KW - Green cryptocurrency
KW - Tail dependence
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U2 - 10.1016/j.irfa.2022.102139
DO - 10.1016/j.irfa.2022.102139
M3 - Article
AN - SCOPUS:85127847660
SN - 1057-5219
VL - 82
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
M1 - 102139
ER -