Interaction between commodity market and cryptocurrencies

Fathi Jouini, Ahlem Selma Messai and Ines Mhadheb

International Journal of Economics and Business Research, 2022, vol. 23, issue 4, 465-481

Abstract: The aim of this study is to show that the Bitcoin market is not isolated but is rather influenced by commodity markets in terms of return and volatility. We used the return of Bitcoin, crude oil, gold, silver and wheat for a period from 3 January 2011 to 22 November 2017. Based on the EGARCH model estimate, the main results indicated that Bitcoin return is positively but weakly influenced by returns of crude oil, gold, silver, and wheat. The results also show an inverse relationship between the volatility of crude oil and Bitcoin. So Bitcoin is a strong hedge against energy products. For gold, silver and wheat, the absence of risk transmission to the Bitcoin market suggests diversification opportunities following investors to use Bitcoin with any of the three assets to reduce the portfolio risk.

Keywords: Bitcoin; volatility; commodity. (search for similar items in EconPapers)
Date: 2022
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