 Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futuresYoung C. Joo and Sung Y. Park The North American Journal of Economics and Finance, 2024, vol. 72, issue C Abstract: There is increased interest in the dynamic relationships between cryptocurrency and commodity futures. This study examines the hedging performance of four well-known commodity futures against fluctuations in Bitcoin prices. Furthermore, this study used the DCC- and ADCC-MGARCH models to estimate conditional correlations and time-varying optimal hedge ratios between the returns of copper, gas, gold, and crude oil futures, and Bitcoin. We use a rolling window method to calculate one-step-ahead time-varying optimal hedge ratios and evaluate hedging performance. The empirical results show that gas and gold have hedge benefits to Bitcoin. However, crude oil shows poor hedge performance. From the results of one-step-ahead hedge ratios, for copper and oil, we find that hedge ratios increased and hedge effectiveness improved since the COVID-19 outbreak. Keywords: DCC-GARCH; ADCC-GARCH; Hedging; Commodity futures; Cryptocurrency (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000524 DOI: 10.1016/j.najef.2024.102127 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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