作者
Linh Pham, Sitara Karim, Muhammad Abubakr Naeem, Cheng Long
发表日期
2022/7/1
期刊
International Review of Financial Analysis
卷号
82
页码范围
102139
出版商
North-Holland
简介
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 …
引用总数
学术搜索中的文章
L Pham, S Karim, MA Naeem, C Long - International Review of Financial Analysis, 2022