Volatility spillover between carbon credit markets and cryptocurrencies: evidence from EUA futures, Bitcoin and Ethereum

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:Provides empirical evidence on cross-market volatility transmission between carbon credits and cryptocurrencies using advanced time-series methods.

🏢実務担当者:Insights for carbon market participants and crypto investors on portfolio diversification and risk assessment under crisis conditions.

🏛政策担当者:Highlights the need for monitoring cross-asset contagion risks between carbon markets and digital assets, especially during market stress.

Purpose This study investigates the volatility spillover dynamics between carbon credit market represented by European Union Allowance (EUA) futures and major cryptocurrencies, Bitcoin (BTC) and Ethereum (ETH), during the 2020–2024 period. It aims to understand whether these assets, despite their difference in regulatory and structural features, exhibit interconnected volatility pattern and particularly under crisis or shock conditions. Design/methodology/approach The article employs a two-step econometric approach. First, the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model is used to estimate time-varying return correlations among EUA, BTC and ETH. And second, the Diebold–Yilmaz (2012) spillovers index based on forecast error variance decomposition is applied to quantify the sizes, directions and evolution of volatility spillovers across markets. Findings The results reveal significant but uneven and time-varying volatility spillovers between carbon and cryptocurrency markets. Spillover intensity becomes more prominent, especially during major crisis periods such as the COVID-19 pandemic, the Russia–Ukraine war and the FTX collapse. Spillovers are asymmetric and regime-dependent. ETH emerges as the main net volatility transmitter, while BTC exhibits a near-neutral and regime-dependent role, alternating between transmitting and receiving shocks. EUA futures remain largely insulated, with only limited outward volatility transmission even under extreme market conditions. These findings suggest the presence of conditional and crisis-driven spillover linkages between green and digital assets. Originality/value This is among the first studies to empirically examine the volatility transmissions between carbon credit and cryptocurrency market using advanced econometric tools. It contributes to the emerging green -digital finance literature by identifying dynamic and directional interdependency across these evolving asset types.

• openalex https://doi.org/10.1108/ijoem-06-2025-1339first seen 2026-06-17 05:44:08 · last seen 2026-06-17 07:14:03