Does Bitcoin Hedge Commodity Uncertainty?

Khanh Hoang, Cuong C. Nguyen, Kongchheng Poch and Thang Nguyen ()
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Cuong C. Nguyen: Department of Financial and Business Systems, Lincoln University, Lincoln 7647, Canterbury, New Zealand
Kongchheng Poch: Department of Financial and Business Systems, Lincoln University, Lincoln 7647, Canterbury, New Zealand

JRFM, 2020, vol. 13, issue 6, 1-14

Abstract: 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.

Keywords: Bitcoin; commodity; diversification; hedging; volatility spillover (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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