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Does Bitcoin Hedge Commodity Uncertainty?

Author

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  • Khanh Hoang

    (School of Banking and Finance, National Economics University, Hai Ba Trung District, Hanoi 11616, Vietnam
    Department of Financial and Business Systems, Lincoln University, Lincoln 7647, Canterbury, New Zealand)

  • 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)

  • Thang X. Nguyen

    (School of Banking and Finance, National Economics University, Hai Ba Trung District, Hanoi 11616, Vietnam)

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.

Suggested Citation

  • Khanh Hoang & Cuong C. Nguyen & Kongchheng Poch & Thang X. Nguyen, 2020. "Does Bitcoin Hedge Commodity Uncertainty?," JRFM, MDPI, vol. 13(6), pages 1-14, June.
    • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:119-:d:369078
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    References listed on IDEAS

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    3. Thanasis Stengos, 2021. "Recent Developments in Cryptocurrency Markets: Co-Movements, Spillovers and Forecasting," JRFM, MDPI, vol. 14(3), pages 1-3, February.

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