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Open AccessArticle

Does Bitcoin Hedge Commodity Uncertainty?

1
School of Banking and Finance, National Economics University, Hai Ba Trung District, Hanoi 11616, Vietnam
2
Department of Financial and Business Systems, Lincoln University, Lincoln 7647, Canterbury, New Zealand
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Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2020, 13(6), 119; https://doi.org/10.3390/jrfm13060119
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
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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.

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