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Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods

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  • Huang, Yingying
  • Duan, Kun
  • Urquhart, Andrew

Abstract

This paper studies the time-varying market linkages between Bitcoin and green assets before and during the COVID-19 pandemic through a TVP-VAR model with stochastic volatility. Both the roles of uncertainty and environmental attention related to cryptocurrency are considered when modeling market linkages, which underlying asymmetry is detected from three perspectives, i.e., bidirectionality of the impact direction, time points where the unit shock of the IRF analysis is imposed, and before and after the pandemic. We find that the investment sheltering role of Bitcoin for green assets is enhanced and expanded after the onset of the pandemic, while green assets in turn consistently act as an effective hedge for Bitcoin irrespective of the pandemic. Additional analyses confirm the robustness of our findings, which possess implications for not only hedging against green portfolios but also seeking green shelters.

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  • Huang, Yingying & Duan, Kun & Urquhart, Andrew, 2023. "Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001597
    DOI: 10.1016/j.intfin.2022.101687
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    2. Bampinas, Georgios & Panagiotidis, Theodore, 2023. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper 117094, University Library of Munich, Germany.
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    5. Lee, Chi-Chuan & Yu, Chin-Hsien & Zhang, Jian, 2023. "Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 99-109.
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    7. Kyriazis, Nikolaos A. & Papadamou, Stephanos & Tzeremes, Panayiotis, 2023. "Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?," Economic Modelling, Elsevier, vol. 128(C).
    8. 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.

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