Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?
研究碳资产和比特币在全球股票市场中的对冲能力，发现两者均能对冲风险，但对冲强度与经济不确定性负相关，且在不同频率下变化，两者在多数情况下可互为对冲资产。
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.