|
| |
| Eder JAL Pereira |
| |
| ''Dynamic correlation between the green hydrogen market and commodities, stock markets, oil, and Bitcoin: A DCC approach'' |
| ( 2025, Vol. 45 No.2 ) |
| |
| |
| This study analyzes the dynamic correlation between the green hydrogen market and financial assets (iShares MSCI World, Bitcoin, commodities, oil futures) using Engle's (2002) Dynamic Conditional Correlation (DCC) model, with data from August 2021 to February 2024. Findings show strong correlations, peaking at 80%, between green hydrogen and global stock and oil markets, and a 50% correlation with Bitcoin, notably after Russia's invasion of Ukraine. These results inform investors and policymakers on sustainability, ESG compliance, and diversification with green assets. |
| |
| |
| Keywords: Dynamic Conditional Correlation, Green Hydrogen Market, Stock Markets, Bitcoin |
JEL: Q4 - Energy: General
Q2 - Renewable Resources and Conservation: General |
| |
| Manuscript Received : Apr 11 2025 | | Manuscript Accepted : Jun 30 2025 |
|
