Tail dependence between bitcoin and green financial assets

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.

• Publication year

  2021

• Venue

  Economics Letters

• Publication date

  2021-09-08

• Fields of study

  Business, Economics, Environmental Science

• Identifiers
  DOI 10.1016/j.econlet.2021.110068
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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