EconPapers    
Economics at your fingertips  
 

Gold, platinum, and expected Bitcoin returns

Toan Luu Duc Huynh, Tobias Burggraf and Mei Wang

Journal of Multinational Financial Management, 2020, vol. 56, issue C

Abstract: This study examines the prediction power of the ratio of gold to platinum prices (GP) on Bitcoin. By using different models and data sources for Bitcoin, we find that GP predicts future Bitcoin return. When the price of gold relative to platinum increases, Bitcoin return also goes up. This finding is consistent with previous studies and contributes to the ongoing discussion whether GP can be used as an indicator for aggregate market risk. Using variance decomposition, we also find that volatility in the gold and platinum market can influence Bitcoin volatility and that this relationship shows time-varying dependency. Finally, our results are robust to including new year effects and data of different frequency. Hence, this paper contributes to the current literature of Bitcoin by showing that GP provides an important proxy of risk in the economy.

Keywords: Gold; Platinum; Bitcoin return; Cryptocurrency (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X20300177
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177

DOI: 10.1016/j.mulfin.2020.100628

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-12-19
Handle: RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177