Does Bitcoin Hedge Commodity Uncertainty?
Abstract
1. Introduction
2. Literature Review
3. Methodology
4. Data Analysis
4.1. Data
4.2. Empirical Results
4.3. Robustness Test
5. Conclusions
Author Contributions
Funding
Conflicts of Interest
References
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OVX | WIV | CIV | Bitcoin | |
---|---|---|---|---|
Return Mean | 0.0001 | 0.0003 | 0.0002 | 0.0033 |
Index Mean | 33.65 | 25.45 | 22.52 | 2050.2 |
Median | 30.79 | 25.23 | 22.34 | 591.9 |
Maximum | 78.97 | 41.39 | 43.09 | 19,395.8 |
Minimum | 14.50 | 9.19 | 10.40 | 100.8 |
1st Quarter | 24.07 | 22.46 | 18.55 | 367.8 |
3rd Quarter | 42.21 | 28.46 | 26.49 | 1226.8 |
Jarque–Bera test | 93.948 (<0.0001) | 15.433 (0.0004) | 13.459 (0.0012) | 2626.8 (<0.0001) |
ADF test | –2.083 (0.5432) | –3.6331 (0.02949) | –4.0686 (0.01) | –2.064 (0.5512) |
Correlation with Bitcoin | –0.0314 | 0.0628 | 0.0116 | 1 |
OVX | WIV | CIV | Bitcoin | From | |
---|---|---|---|---|---|
OVX | 84.67 | 7.18 | 6.06 | 2.09 | 3.83 |
WIV | 0.16 | 77.56 | 20.77 | 1.51 | 5.61 |
CIV | 2.08 | 33.23 | 58.11 | 6.58 | 10.47 |
Bitcoin | 0.14 | 9.64 | 4.51 | 85.71 | 3.57 |
To | 0.60 | 12.51 | 7.83 | 2.55 | 23.49 |
Frequency 1. The spillover table for band: 3.14 to 0.79. Roughly corresponds to 1 day to 4 days. | ||||||
OVX | WIV | CIV | Bitcoin | From.ABS | From.WTH | |
OVX | 0.32 | 0.02 | 0.02 | 0.01 | 0.01 | 0.66 |
WIV | 0.01 | 3.15 | 0.90 | 0.05 | 0.24 | 12.41 |
CIV | 0.04 | 0.49 | 2.51 | 0.02 | 0.14 | 7.19 |
Bitcoin | 0.00 | 0.06 | 0.01 | 0.06 | 0.02 | 0.91 |
To.ABS | 0.01 | 0.14 | 0.23 | 0.02 | 0.41 | |
To.WTH | 0.71 | 7.46 | 12.01 | 0.98 | 21.16 | |
Frequency 2. The spillover table for band: 0.79 to 0.31. Roughly corresponds to 4 days to 10 days. | ||||||
OVX | WIV | CIV | Bitcoin | From.ABS | From.WTH | |
OVX | 0.61 | 0.07 | 0.04 | 0.03 | 0.04 | 1.25 |
WIV | 0.02 | 5.21 | 1.17 | 0.12 | 0.33 | 11.54 |
CIV | 0.03 | 0.75 | 3.02 | 0.03 | 0.20 | 7.07 |
Bitcoin | 0.00 | 0.15 | 0.04 | 0.06 | 0.05 | 1.62 |
To.ABS | 0.01 | 0.24 | 0.31 | 0.04 | 0.61 | |
To.WTH | 0.40 | 8.53 | 11.03 | 1.52 | 21.47 | |
Frequency 3. The spillover table for band: 0.31 to 0.00. Roughly corresponds to more than 10 days. | ||||||
OVX | WIV | CIV | Bitcoin | From.ABS | From.WTH | |
OVX | 83.74 | 7.08 | 6.00 | 2.06 | 3.79 | 3.97 |
WIV | 0.13 | 69.20 | 18.70 | 1.35 | 5.04 | 5.30 |
CIV | 2.01 | 31.99 | 52.57 | 6.54 | 10.14 | 10.64 |
Bitcoin | 0.13 | 9.43 | 4.47 | 85.59 | 3.51 | 3.68 |
To.ABS | 0.57 | 12.13 | 7.29 | 2.48 | 22.47 | |
To.WTH | 0.60 | 12.73 | 7.66 | 2.61 | 23.60 |
Total DY (2012) Time Domain | OVX-Bitcoin | WIV-Bitcoin | CIV-Bitcoin |
---|---|---|---|
0.489 | −2.031 | 0.516 | |
BK (2018)-Frequency domain | |||
Frequency 1 | OVX-Bitcoin | WIV-Bitcoin | CIV-Bitcoin |
0.002 | −0.002 | 0.001 | |
Frequency 2 | OVX-Bitcoin | WIV-Bitcoin | CIV-Bitcoin |
0.006 | −0.006 | −0.002 | |
Frequency 3 | OVX-Bitcoin | WIV-Bitcoin | CIV-Bitcoin |
0.480 | −2.022 | 0.517 |
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Hoang, K.; Nguyen, C.C.; Poch, K.; Nguyen, T.X. Does Bitcoin Hedge Commodity Uncertainty? J. Risk Financial Manag. 2020, 13, 119. https://doi.org/10.3390/jrfm13060119
Hoang K, Nguyen CC, Poch K, Nguyen TX. Does Bitcoin Hedge Commodity Uncertainty? Journal of Risk and Financial Management. 2020; 13(6):119. https://doi.org/10.3390/jrfm13060119
Chicago/Turabian StyleHoang, Khanh, Cuong C. Nguyen, Kongchheng Poch, and Thang X. Nguyen. 2020. "Does Bitcoin Hedge Commodity Uncertainty?" Journal of Risk and Financial Management 13, no. 6: 119. https://doi.org/10.3390/jrfm13060119
APA StyleHoang, K., Nguyen, C. C., Poch, K., & Nguyen, T. X. (2020). Does Bitcoin Hedge Commodity Uncertainty? Journal of Risk and Financial Management, 13(6), 119. https://doi.org/10.3390/jrfm13060119