Project

Does Bitcoin hedge commodity volatilities?

Goal: The paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn during the 2013-2018 period, using time and frequency-domain framework.

Updates
0 new
1
Recommendations
0 new
0
Followers
0 new
3
Reads
1 new
17

Project log

Khanh Hoang
added a research item
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.
Khanh Hoang
added an update
The paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn during the 2013-2018 period, using time and frequency-domain framework. The time-domain framework’s results show that the connectedness is 23.5%, 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 12.5% toward the total connectedness. The frequency connectedness shows that Bitcoin’s contribution to the total connectedness increases from high frequency to low-frequency levels 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 markets’ volatilities. The findings suggest that Bitcoin could be a hedger for commodity volatilities. The results are robust in other methods as well.
 
Khanh Hoang
added a project goal
The paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn during the 2013-2018 period, using time and frequency-domain framework.