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Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention

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  • Qingjie Zhou

    (School of Economics, Beijing Technology and Business University, Beijing 100048, China
    Institute of New Commercial Economy, Beijing Technology and Business University, Beijing 100048, China)

  • Panpan Zhu

    (School of Economics, Beijing Technology and Business University, Beijing 100048, China)

  • Yinpeng Zhang

    (Business School, Wuchang University of Technology, Wuhan 430223, China)

Abstract

The uniqueness of this investigation lies in empirically testing and proving the contagion spillover of Bitcoin attention to carbon futures. Specifically, several models are adopted to investigate the explanatory and predictive abilities of Bitcoin attention to carbon futures. The results can be generalized as follows. First, Bitcoin attention Granger causes the variation of carbon futures. Second, Bitcoin attention shows a negative impact on carbon futures and an addition, an invert U-shaped connection exists. Third, the Bitcoin attention-based models can beat the commonly used historical average benchmark during out-of-sample forecasting both in statistical and economic levels. Fourth, we complete robustness checks to certify that the contagion spillover from Bitcoin attention to the pricing of carbon futures does exist. Finally, we prove the linear and non-linear impacts from Bitcoin attention to realized volatility of carbon futures. All the results prove that Bitcoin attention is an important pricing factor for carbon futures market.

Suggested Citation

  • Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    • Handle: RePEc:gam:jeners:v:16:y:2023:i:2:p:929-:d:1035420
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    1. Qiyun Cheng & Huiting Qiao & Yimiao Gu & Zhenxi Chen, 2023. "Price Dynamics and Interactions between the Chinese and European Carbon Emission Trading Markets," Energies, MDPI, vol. 16(4), pages 1-12, February.

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