A tale of two tails among carbon prices, green and non-green cryptocurrencies
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, w...
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| Published in: | International review of financial analysis 2022-07, Vol.82, p.102139, Article 102139 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | eng |
| Subjects: | |
| Online Access: | Get full text |
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| Summary: | 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.
•Extreme tail dependence among carbon prices, green and non-green cryptocurrencies.•We find stronger dependence during high volatile periods compared to low volatile periods.•Carbon prices are largely disconnected from cryptocurrencies during low volatility periods.•Green cryptocurrencies are weakly connected to Bitcoin and Ethereum.•We find a significant influence of macroeconomic and financial factors on the tail dependence. |
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| ISSN: | 1057-5219 1873-8079 |