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. Initially, we use Bitcoin, Ethereum, and Ripple to embody the cryptocurrency market and the European Union Allowance (EUA) futures to represent a carbon futures market. Specifically, we estimate correlations among different market conditions using the quantile-on-quantile regression (QQR) method. We find that an extremely negative Bitcoin market would be negatively correlated with a mid-quantile carbon market. Moreover, extremely positive relationships are more likely in pessimistic carbon market situations based on the results of Ethereum or Ripple