This study investigates the multifractal characteristics and nonlinear cross-correlations between two major carbon credit indices—S&P Global Carbon Index and EEX Global Carbon Index—and key global financial assets: the Euro/US Dollar exchange rate, Dow Jones Industrial Average, gold, Western Texas Intermediate, and Bitcoin. Using daily data from August 2020 to June 2025, we apply the Asymmetric Multifractal Detrended Cross-Correlation Analysis framework to examine the strength, asymmetry, and persistence of interdependencies across varying fluctuation magnitudes. Our findings reveal consistent multifractality in all asset pairs, with stronger multifractal spectra observed in those linked to Bitcoin and Western Texas Intermediate Crude Oil price. The analysis of generalized Hurst exponents indicates higher persistence for small fluctuations and antipersistent behavior for large fluctuations, particularly in pairs involving the S&P Global Carbon Index. We also detect significant asymmetry in the cross-correlations, especially under bearish trends in Bitcoin and Western Texas Intermediate. Surrogate data tests confirm that multifractality largely stems from fat-tailed distributions and temporal correlations, with genuine multifractality identified in the S&P Global Carbon Index–Dow Jones Industrial average pair. These results highlight the complex and nonlinear dynamics governing carbon markets, offering critical insights for investors, policymakers, and regulators navigating the intersection of environmental and financial systems.
Kristjanpoller et al. (2025) studied this question.