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Financial modelling, risk management of energy instruments and the role of cryptocurrencies

Author

Listed:
  • Toan Luu Duc Huynh

    (University of Economics Ho Chi Minh City
    WHU – Otto Beisheim School of Management)

  • Muhammad Shahbaz

    (Beijing Institute of Technology
    University of Cambridge)

  • Muhammad Ali Nasir

    (University of Economics Ho Chi Minh City
    Leeds Beckett University)

  • Subhan Ullah

    (University of Nottingham)

Abstract

This paper empirically investigates whether cryptocurrencies might have a useful role in financial modelling and risk management in the energy markets. To do so, the causal relationship between movements on the energy markets (specifically the price of crude oil) and the value of cryptocurrencies is analysed by drawing on daily data from April 2013 to April 2019. We find that shocks to the US and European crude oil indices are strongly connected to the movements of most cryptocurrencies. Applying a non-parametric statistic, Transferring Entropy (an econophysics technique measuring information flow), we find that some cryptocurrencies (XEM, DOGE, VTC, XLM, USDT, XRP) can be used for hedging and portfolio diversification. Furthermore, the results reveal that the European crude oil index is a source of shocks on the cryptocurrency market while the US oil index appears to be a receiver of shocks.

Suggested Citation

  • Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2022. "Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 313(1), pages 47-75, June.
    • Handle: RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-020-03680-y
    DOI: 10.1007/s10479-020-03680-y
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    Keywords

    Energy markets; Risk management; Crude oil; Cryptocurrency; Transfer entropy; Financial instruments;
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    JEL classification:

    • O31 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Innovation and Invention: Processes and Incentives
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • O32 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Management of Technological Innovation and R&D
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

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