IDEAS home Printed from https://ideas.repec.org/a/adi/ijbess/v8y2026i4id1306.html

Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: Evidence from Copper Returns

Author

Listed:
  • Ebo Ebynah
  • Senyo Agbeblewu
  • Bernard Nyarko
  • Edward Nii Amar Amarteifio

Abstract

This paper examined the connectedness between Copper returns and major cryptocurrency returns, with particular attention to their predictive ability and their roles in diversification and risk transmission across varying market conditions and investment horizons. In this study, it is also aimed to evaluate how these relationships evolve across different quantiles and frequency domains, thereby capturing both distributional asymmetries and time-dependent dynamics. We employed a hybrid analytical approach combining Ensemble Empirical Mode Decomposition and Quantile-on-Quantile Regression to decompose the return series and estimate dependence structures across multiple quantiles and time scales. A dataset comprising daily observations of copper and selected cryptocurrencies, Cardano (ADA), Binance Coin (BNB), Bitcoin (BTC), Ethereum (ETH), TRON (TRX), Tether (USDT), Dogecoin (DOGE), and Ripple (XRP), covering the period from 17 September 2014 to 17 April 2026 was analysed. The main findings of the study demonstrate that (i) short-term connectedness between copper and cryptocurrencies is generally weak, indicating limited immediate transmission of shocks; (ii) medium- and long-term results reveal stronger and more structured dependence, with certain cryptocurrencies, particularly Bitcoin and Binance Coin, exhibiting notable predictive influence on copper returns alongside time-varying co-movements; and finally (iii) the relationship is highly state-dependent, with stronger and asymmetric spillovers emerging during extreme market conditions, suggesting that cryptocurrencies primarily serve as diversifiers rather than consistent hedges. These results highlight the dynamic nature of the cryptocurrency–copper nexus and provide important implications for portfolio diversification, risk management, and financial market monitoring in increasingly interconnected global markets.

Suggested Citation

  • Ebo Ebynah & Senyo Agbeblewu & Bernard Nyarko & Edward Nii Amar Amarteifio, 2026. "Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: Evidence from Copper Returns," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 860-878, October.
    • Handle: RePEc:adi:ijbess:v:8:y:2026:i:4:id:1306
    DOI: 10.36096/ijbes.v8i4.1306
    as

    Download full text from publisher

    File URL: https://bussecon.com/ojs/index.php/ijbes/article/view/1306
    File Function: Abstract page
    Download Restriction: no
    File URL: https://bussecon.com/ojs/index.php/ijbes/article/download/1306/881
    File Function: Full text
    Download Restriction: no
    File URL: https://libkey.io/10.36096/ijbes.v8i4.1306?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. John Kingsley Woode & Anokye M. Adam & Peterson Owusu Junior & Anthony Adu-Asare Idun, 2024. "Industrial metal and cryptocurrency market plummets: Interdependence, policy uncertainty, or investor sentiments?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 51(4), pages 1001-1040, December.
    2. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Al-Jarrah, Idries Mohammad Wanas & Hamdi, Atef & Kang, Sang Hoon, 2019. "Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 104-120.
    3. Jozef Baruník & Tomáš Křehlík, 2018. "Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 271-296.
    4. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
    5. Ebo Ebynah & Senyo Agbeblewu & Bernard Nyarko & Edward Nii Amar Amarteifio, 2026. "Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: Evidence from Copper Returns," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 860-878, October.
    6. Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021. "Volatility connectedness of major cryptocurrencies: The role of investor happiness," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    7. Ebo Ebynah & Bernard Nyarko & Senyo Agbeblewu & Edward Nii Amar Amarteifio & Godwin Adolf Idan & Timilehin Olasoji Olubiyi, 2026. "Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: The Role of Palladium Returns," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 449-469, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ebo Ebynah & Senyo Agbeblewu & Bernard Nyarko & Edward Nii Amar Amarteifio, 2026. "Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: Evidence from Copper Returns," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 860-878, October.
    2. Ebo Ebynah & Bernard Nyarko & Senyo Agbeblewu & Edward Nii Amar Amarteifio & Godwin Adolf Idan & Timilehin Olasoji Olubiyi, 2026. "Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: The Role of Palladium Returns," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 449-469, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ebo Ebynah & Bernard Nyarko & Senyo Agbeblewu & Edward Nii Amar Amarteifio & Godwin Adolf Idan & Timilehin Olasoji Olubiyi, 2026. "Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: The Role of Palladium Returns," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 449-469, October.
    2. Senyo Agbeblewu & Timilehin Olasoji Olubiyi & Edward Nii Amar Amarteifio & Ebo Ebynah & Bernard Nyarko & Isaac Christopher Otoo, 2026. "Platinum–Cryptocurrency Connectedness at Quantile Frequencies: Evidence from Industrial Metal Markets," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 398-422, October.
    3. Ebo Ebynah & Isaac Christopher Otoo & Senyo Agbeblewu & Bernard Nyarko & Godwin Adolf Idan, 2026. "Connectedness of cryptocurrencies and silver returns: Evidence from frequency-dependent quantile regressions," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 8(4), pages 376-397, October.
    4. Wu, Feng-Lin & Wang, Yu-Shi & Wan, Yu-Fan & Wang, Ming-Hui, 2025. "Does investor attention drive cryptocurrency markets? Insights from network connectedness and portfolio applications," Journal of International Money and Finance, Elsevier, vol. 157(C).
    5. Mbarek, Marouene & Msolli, Badreddine, 2025. "Tokens and cryptocurrencies: Evidence from asymmetric frequency connectedness approach," Research in International Business and Finance, Elsevier, vol. 77(PA).
    6. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    7. John Kingsley Woode & Peterson Owusu Junior & Anthony Adu-Asare Idun & Seyram Kawor & John Bambir & Anokye M. Adam, 2025. "Time-Varying and Frequency-Based Spillover Connectedness Between Cryptocurrencies and Non-ferrous Industrial Metals in Light of Market Plummets," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 2225-2264, September.
    8. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    9. Umaid A. Sheikh & Mosab I. Tabash & David Roubaud & Emilios Galariotis & Khaled Guesmi, 2026. "Asymmetric Good and Bad Volatility Transmission Mechanism: Moderating Role of Global Uncertainties," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 584-619, January.
    10. Lu, Xunfa & Huang, Nan & Mo, Jianlei, 2024. "Time-varying causalities from the COVID-19 media coverage to the dynamic spillovers among the cryptocurrency, the clean energy, and the crude oil," Energy Economics, Elsevier, vol. 132(C).
    11. Sila, Jan & Kocenda, Evzen & Kristoufek, Ladislav & Kukacka, Jiri, 2024. "Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
    12. Muhammad Tahir Suleman & Umaid A Sheikh & Emilios C. Galariotis & David Roubaud, 2025. "The impact of bitcoin fear and greed on good and bad network connectedness: the case of the US sectoral high frequency returns," Annals of Operations Research, Springer, vol. 347(1), pages 633-677, April.
    13. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    14. Wang, Xin & Zhang, Wenting & Tanizaki, Hisashi, 2026. "Does investor attention drive the connectedness across FX, bond, stock, and commodity markets? Evidence from the federal funds rate," International Review of Economics & Finance, Elsevier, vol. 106(C).
    15. Miklesh Yadav & Nandita Mishra & Shruti Ashok, 2023. "Dynamic connectedness of green bond with financial markets of European countries under OECD economies," Economic Change and Restructuring, Springer, vol. 56(1), pages 609-631, February.
    16. Yousaf, Imran & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillovers and connectedness between crude oil and green bond markets," Resources Policy, Elsevier, vol. 89(C).
    17. Kakran, Shubham & Bajaj, Parminder Kaur & Pandey, Dharen Kumar & Kumar, Ashish, 2025. "Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 73(PA).
    18. Ha, Le Thanh, 2025. "From wars to dynamic waves: Scrutinizing connectedness between geopolitical risk index, green and non-green crypto volatility by quantile spillovers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 679(C).
    19. Guo, Xiaochun & Guo, Kun & Wang, Shouyang, 2026. "The Crypto Risk Composite Index (CCRI)-advancing risk management in the digital asset space," International Review of Financial Analysis, Elsevier, vol. 113(C).
    20. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adi:ijbess:v:8:y:2026:i:4:id:1306. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr.Alireza Ghezel (email available below). General contact details of provider: https://edirc.repec.org/data/ibihutr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.