Dynamic correlation between the green hydrogen market and commodities, stock markets, oil, and Bitcoin: A DCC approach

Eder Pereira ()
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Eder Pereira: Instituto Federal do Maranhão - Campus Bacabal

Economics Bulletin, 2025, vol. 45, issue 2, 1060 - 1073

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: Q2 Q4 (search for similar items in EconPapers)
Date: 2025-06-30
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