Tail dependence between bitcoin and green financial assets

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171 Citations (Scopus)

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.

Original languageEnglish
Article number110068
JournalEconomics Letters
Volume208
DOIs
Publication statusPublished - Nov 2021
Externally publishedYes

Keywords

  • Bitcoin
  • Copulas
  • Green financial assets
  • Tail dependence

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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