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Tail dependence between bitcoin and green financial assets

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  • Naeem, Muhammad Abubakr
  • Karim, Sitara

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.

Suggested Citation

  • Naeem, Muhammad Abubakr & Karim, Sitara, 2021. "Tail dependence between bitcoin and green financial assets," Economics Letters, Elsevier, vol. 208(C).
    • Handle: RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003451
    DOI: 10.1016/j.econlet.2021.110068
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    References listed on IDEAS

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