{"title":"加密货币市场与碳市场之间的非对称关系：量化对量化法的证据","authors":"Wei Jiang , Pinlin Zhu , Aslihan Gizem Korkmaz , Haigang Zhou","doi":"10.1016/j.jclimf.2024.100037","DOIUrl":null,"url":null,"abstract":"<div><p>We employ a novel framework to measure the asymmetric nexus between the cryptocurrency market and the carbon futures market based on different market conditions. Specifically, we use a quantile-on-quantile regression (QQR) approach to explore the correlation between cryptocurrencies (Bitcoin, Ethereum, and Ripple) and European Union Allowance (EUA) futures. We find that there is an asymmetric relationship between markets that is affected by different cryptocurrencies and market conditions. Overall, Bitcoin or Ethereum are positively correlated with the carbon market, while the results of Ripple are more complex. Under certain conditions, EUA futures can be a better hedge against cryptocurrency risk.</p></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"7 ","pages":"Article 100037"},"PeriodicalIF":0.0000,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2949728024000075/pdfft?md5=93e78a57ecb563280e328d50b9a1f045&pid=1-s2.0-S2949728024000075-main.pdf","citationCount":"0","resultStr":"{\"title\":\"The asymmetric nexus between the cryptocurrency market and the carbon market: Evidence from the quantile-on-quantile method\",\"authors\":\"Wei Jiang , Pinlin Zhu , Aslihan Gizem Korkmaz , Haigang Zhou\",\"doi\":\"10.1016/j.jclimf.2024.100037\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We employ a novel framework to measure the asymmetric nexus between the cryptocurrency market and the carbon futures market based on different market conditions. Specifically, we use a quantile-on-quantile regression (QQR) approach to explore the correlation between cryptocurrencies (Bitcoin, Ethereum, and Ripple) and European Union Allowance (EUA) futures. We find that there is an asymmetric relationship between markets that is affected by different cryptocurrencies and market conditions. Overall, Bitcoin or Ethereum are positively correlated with the carbon market, while the results of Ripple are more complex. Under certain conditions, EUA futures can be a better hedge against cryptocurrency risk.</p></div>\",\"PeriodicalId\":100763,\"journal\":{\"name\":\"Journal of Climate Finance\",\"volume\":\"7 \",\"pages\":\"Article 100037\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-03-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S2949728024000075/pdfft?md5=93e78a57ecb563280e328d50b9a1f045&pid=1-s2.0-S2949728024000075-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Climate Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2949728024000075\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Climate Finance","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2949728024000075","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The asymmetric nexus between the cryptocurrency market and the carbon market: Evidence from the quantile-on-quantile method
We employ a novel framework to measure the asymmetric nexus between the cryptocurrency market and the carbon futures market based on different market conditions. Specifically, we use a quantile-on-quantile regression (QQR) approach to explore the correlation between cryptocurrencies (Bitcoin, Ethereum, and Ripple) and European Union Allowance (EUA) futures. We find that there is an asymmetric relationship between markets that is affected by different cryptocurrencies and market conditions. Overall, Bitcoin or Ethereum are positively correlated with the carbon market, while the results of Ripple are more complex. Under certain conditions, EUA futures can be a better hedge against cryptocurrency risk.
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