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

Linh Pham, Sitara Karim, Muhammad Abubakr Naeem, Cheng Long

Research output: Contribution to journalArticlepeer-review

85 Citations (Scopus)


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.

Original languageEnglish
Article number102139
JournalInternational Review of Financial Analysis
Publication statusPublished - Jul 2022


  • Carbon prices
  • Dirty cryptocurrency
  • Green cryptocurrency
  • Tail dependence

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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