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Tail dependence between bitcoin and green financial assets

2021; Elsevier BV; Volume: 208; Linguagem: Inglês

10.1016/j.econlet.2021.110068

1873-7374

Muhammad Abubakr Naeem, Sitara Karim,

Energy, Environment, and Transportation Policies

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.