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Does Bitcoin Hedge Commodity Uncertainty?
| Content Provider | MDPI |
|---|---|
| Author | Hoang, Khanh Nguyen, Cuong C. Poch, Kongchheng Nguyen, Thang X. |
| Copyright Year | 2020 |
| Description | This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013–Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework’s results show that the connectedness is 23.49%, indicating a low level of connection between Bitcoin and the commodity volatilities. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total connectedness. The frequency connectedness shows that Bitcoin’s contribution to the total connectedness increases from high-frequency to low-frequency bands, and the total connectedness reaches up to 22.47%. It also indicates that Bitcoin is the spillover transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest that Bitcoin could be a hedger for commodity volatilities. |
| Starting Page | 119 |
| e-ISSN | 19118074 |
| DOI | 10.3390/jrfm13060119 |
| Journal | Journal of Risk and Financial Management |
| Issue Number | 6 |
| Volume Number | 13 |
| Language | English |
| Publisher | MDPI |
| Publisher Date | 2020-06-09 |
| Access Restriction | Open |
| Subject Keyword | Journal of Risk and Financial Management Industrial Engineering Bitcoin Commodity Diversification Hedging Volatility Spillover |
| Content Type | Text |
| Resource Type | Article |
