Does Bitcoin hedge commodity uncertainty?

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 6 ; Pages: 1-14 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: Bitcoin ; commodity ; diversification ; hedging ; volatility spillover

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hoang, Khanh ; Nguyen, Cuong ; Poch, Kongchheng ; Nguyen, Thang X.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2020

Further information

• DOI: doi:10.3390/jrfm13060119
• Handle: http://hdl.handle.net/10419/239207
• Last update: 10.03.2025, 11:44 AM CET