Does Bitcoin hedge commodity uncertainty?

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Title

Does Bitcoin hedge commodity uncertainty?

Content partner

Lincoln University

Collection

Lincoln University Research Archive

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 f...

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Format

Research Paper

Research format

Journal article

Date created

2020-06

Creator

Hoang, Khanh / Nguyen, Cuong / Poch, Kongchheng / Nguyen, Thang X

URL

https://hdl.handle.net/10182/15306

Related subjects

commodity / diversification / hedging / volatility spillover / Bitcoin / Experimental economics / Financial economics / Applied economics / Agricultural economics / Commerce, management, tourism and services / Economics

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