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Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?

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  • Wei Jiang
  • Yanyu Zhang

Abstract

This paper studies time‐frequency connectedness among carbon assets, Bitcoin, and global stock markets by using the Diebold and Yilmaz method and the Baruník and Křehlík method, to investigate the hedging ability of carbon assets and Bitcoin in global stock markets. Our study finds that both carbon assets and Bitcoin play hedging roles in global stock markets. However, their strength of hedging is negatively correlated with the degree of economic uncertainty and tends to change in different frequency domains. We also show that carbon assets and Bitcoin can act as each other's hedging assets in a great majority of cases. Our results provide useful knowledge for investors to reduce risks and for regulators to regulate carbon assets and cryptocurrency speculation.

Suggested Citation

  • Wei Jiang & Yanyu Zhang, 2023. "Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1183-1203, September.
    • Handle: RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1183-1203
    DOI: 10.1002/fut.22426
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    References listed on IDEAS

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    Cited by:

    1. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.

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