Information interdependence among energy, cryptocurrency and major commodity markets

Qiang Ji, Elie Bouri (), David Roubaud () and Ladislav Krištoufek ()

Energy Economics, 2019, vol. 81, issue C, 1042-1055

Abstract: The relationship between conventional and digital assets has become a prominent research topic, a focus partially emerging from the establishment of some large cryptocurrencies as legitimate financial assets. In this paper, we examine the information interdependence among various commodities—such as energy, metals and agricultural commodities—and leading cryptocurrencies. We use a time-varying entropy-based approach to identify the direction of return spillovers, and the results show that the nature of information spillovers changes over time, with cryptocurrencies becoming more connected and more prominent within the system; in contrast, the role of energy commodities is dependent on their price dynamics. We also apply a minimum spanning tree (MST) and various centrality measures, which reveal that agricultural and energy commodities form the core of the commodities network. The basic skeleton of the network remains rather stable over time even though the detailed connections are rather volatile. Our findings generally suggest that cryptocurrencies are integrated within broadly-defined commodity markets.

Keywords: Transfer entropy; Commodity market; Cryptocurrency; Information spillover; Integration (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (129)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:81:y:2019:i:c:p:1042-1055

DOI: 10.1016/j.eneco.2019.06.005

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