Tail dependence between bitcoin and green financial assets

Muhammad Abubakr Naeem; Sitara Karim

doi:10.1016/j.econlet.2021.110068

Tail dependence between bitcoin and green financial assets

Muhammad Abubakr Naeem
, Sitara Karim

Research output: Contribution to journal › Article › peer-review

248 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 language	English
Article number	110068
Journal	Economics Letters
Volume	208
DOIs	https://doi.org/10.1016/j.econlet.2021.110068
Publication status	Published - Nov 2021
Externally published	Yes

Keywords

Bitcoin
Copulas
Green financial assets
Tail dependence

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2021.110068

Cite this

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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.",

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AU - Karim, Sitara

PY - 2021/11

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AB - 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.

KW - Bitcoin

KW - Copulas

KW - Green financial assets

KW - Tail dependence

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UR - https://www.scopus.com/pages/publications/85114928114#tab=citedBy

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JO - Economics Letters

JF - Economics Letters

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ER -

Tail dependence between bitcoin and green financial assets

Abstract

Keywords

ASJC Scopus subject areas

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