Next Article in Journal
Modelling Sector-Level Asset Prices
Next Article in Special Issue
GARCH Generated Volatility Indices of Bitcoin and CRIX
Previous Article in Journal
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds
Previous Article in Special Issue
Cryptocurrency Returns before and after the Introduction of Bitcoin Futures
Open AccessArticle

Does Bitcoin Hedge Commodity Uncertainty?

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
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2020, 13(6), 119;
Received: 11 May 2020 / Revised: 7 June 2020 / Accepted: 8 June 2020 / Published: 9 June 2020
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. View Full-Text
Keywords: Bitcoin; commodity; diversification; hedging; volatility spillover Bitcoin; commodity; diversification; hedging; volatility spillover
Show Figures

Figure 1

MDPI and ACS Style

Hoang, K.; Nguyen, C.C.; Poch, K.; Nguyen, T.X. Does Bitcoin Hedge Commodity Uncertainty? J. Risk Financial Manag. 2020, 13, 119.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

Search more from Scilit
Back to TopTop