Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention
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 gen...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-01-01
|
| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/16/2/929 |
| _version_ | 1797443071354339328 |
|---|---|
| author | Qingjie Zhou Panpan Zhu Yinpeng Zhang |
| author_facet | Qingjie Zhou Panpan Zhu Yinpeng Zhang |
| author_sort | Qingjie Zhou |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T12:50:50Z |
| format | Article |
| id | doaj.art-462a3559843448a09482514a43c71012 |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-09T12:50:50Z |
| publishDate | 2023-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-462a3559843448a09482514a43c710122023-11-30T22:06:06ZengMDPI AGEnergies1996-10732023-01-0116292910.3390/en16020929Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor AttentionQingjie Zhou0Panpan Zhu1Yinpeng Zhang2School of Economics, Beijing Technology and Business University, Beijing 100048, ChinaSchool of Economics, Beijing Technology and Business University, Beijing 100048, ChinaBusiness School, Wuchang University of Technology, Wuhan 430223, ChinaThe 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.https://www.mdpi.com/1996-1073/16/2/929contagion spilloverBitcoincarbon futuresvolatilityinvestor attention |
| spellingShingle | Qingjie Zhou Panpan Zhu Yinpeng Zhang Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention Energies contagion spillover Bitcoin carbon futures volatility investor attention |
| title | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention |
| title_full | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention |
| title_fullStr | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention |
| title_full_unstemmed | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention |
| title_short | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention |
| title_sort | contagion spillover from bitcoin to carbon futures pricing perspective from investor attention |
| topic | contagion spillover Bitcoin carbon futures volatility investor attention |
| url | https://www.mdpi.com/1996-1073/16/2/929 |
| work_keys_str_mv | AT qingjiezhou contagionspilloverfrombitcointocarbonfuturespricingperspectivefrominvestorattention AT panpanzhu contagionspilloverfrombitcointocarbonfuturespricingperspectivefrominvestorattention AT yinpengzhang contagionspilloverfrombitcointocarbonfuturespricingperspectivefrominvestorattention |