Figure - available via license: CC BY
Content may be subject to copyright.
Baruník and Křehlík (2018) spillover-Frequency domain.

Baruník and Křehlík (2018) spillover-Frequency domain.

Source publication
Article
Full-text available
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 volati...

Context in source publication

Context 1
... result also reveals the leading impact of WVI among the three commodity volatilities. Table 3 reports the results from the frequency domain. The contribution of Bitcoin to the connectedness increases from 0.02 (1 to 4 days) to 3.51 (10 days to infinity), showing the low association between the three indices and Bitcoin. ...

Similar publications

Citations

... Baur et al. (2017) use the GARCH and EGARCH models to compare Bitcoin and Gold's hedging ability, stock, US dollar, and points out that there is a vast difference between Bitcoin and the other assets. Hoang et al.(2020) examine the connectedness between Bitcoin and commodity volatilities (e.g., oil, wheat, and corn) under the time-frequency frameworks. Page 3 of 16 122 ...
... As for the methods in the research of Bitcoin issues, the GARCH model is the most widely used (see Dyhrberg 2016a, b;Bouri et al. 2017a, b;Katsiampa 2017;Catania and Grassi 2017;Chu et al. 2017;Corbet et al. 2018;Aftab et al. 2019;Wu et al. 2019;Das et al. 2020;etc.). Then the VAR model and variance decomposition based on VAR model are also widely used (Hoang et al. 2020;Moratis 2021;Rehman 2020;Urom et al. 2020). Other methods such as Copula-type models (Garcia-Jorcano and Muela 2020), wavelet analysis (Qureshi et al. 2018) etc., are gradually applied. ...
Article
Full-text available
To analyze the asset attribute and hedge effect of Bitcoin, we investigate the relationship between Bitcoin and several kinds of traditional financial assets by the univariate GARCH and multivariate GARCH models. We find that Bitcoin has a unique risk-return characteristic and volatility clustering performance, its high volatility persistence similar to Gold, but different from currency. In addition, Bitcoin exhibits a significant one-way spillover effect with other variables, without a two-way spillover effect. Bitcoin is much more affected by other market shocks than other markets are affected by the impact of Bitcoin shocks, which could not be a haven but a weak hedge. From the dynamic linkage perspective, Bitcoin and Gold have different connectedness to other markets, Gold exhibits a stronger movement to other markets, especially during extreme situations. To summarize, we classify Bitcoin as a high speculative financial asset between Gold and currency, but not Gold or currency. Our study has important implications for investors, policymakers, and risk managers who are interested in Bitcoin.
... The results indicate that the volatility connectedness is higher than the return connectedness among these assets, suggesting that although diversification among these three assets is more difficult in the short-and medium-term, investors may benefit from diversification in the long run. In a similar vein, the paper by Hoang et al. (2020) "Does Bitcoin Hedge Commodity Uncertainty?" examines the connectedness between Bitcoin and commodity volatilities, including those of oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time-and frequencydomain frameworks, also finding that Bitcoin could be a hedger for commodity volatilities. ...
Article
Full-text available
The emergence of Bitcoin and other cryptocurrencies has led to an explosion of trading and speculation in once nontraditional markets [...]
Article
Full-text available
In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.