Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar

Das, Debojyoti; Roux, Corlise Liesl Le; Jana, Rabin K.; Dutta, Anupam

doi:10.1016/j.frl.2019.101335

Cited by 117 publications

(73 citation statements)

References 28 publications

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“…Concentrating on hedging alternatives such as Gold and Bitcoin over periods of crisis, e.g., global financial crisis, gold found being a safe-haven asset (Baur and McDermott, 2010;Ciner et al, 2013;Reboredo, 2013). A recent study by Das et al, 2020 shows that Bitcoin is not a superior haven asset (hedging) than Gold and USD. Importantly, our study investigates whether gold and Bitcoin are safe-haven assets during Covid-19 turmoil.…”

Section: Introductionmentioning

confidence: 99%

Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications

Naeem

Mbarki

Alharthi

et al. 2021

Front. Environ. Sci.

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COVID-19 has morphed from a health crisis to an economic crisis that affected the global economy through several channels. This paper aims to study the impact of COVID-19 on the time-frequency connectedness between Green Bonds and other financial assets. Our sample includes the global stock market, bond market, oil, USD index, and two popular hedging alternatives, namely Gold and Bitcoin, from May 2013 to August 2020. First, we apply the methodologies of Diebold and Yilmaz (International Journal of Forecasting, 2012, 28(1), 57–66) and Baruník and Křehlík (Journal of Financial Econometrics, 2018, 16(2), 271–296). Then, we estimate hedge ratios and hedge effectiveness of green bonds for other financial assets. Green bonds are found to have a great weight in the overall network, particularly strongly connected with the USD index and bond index. While the bi-directional relationship with USD persists during COVID, the connectedness with conventional bonds is also strengthened. Notably, we find a weak relationship between Green bonds and Bitcoin, both in the short and long run. As portfolio implications, Gold and USD have the highest hedge ratio, which is confirmed by the hedging effectiveness. In contrast, oil and stocks exhibit the lowest hedging effectiveness. Our findings imply that financial assets might have a heterogeneous relationship with green bonds. Furthermore, despite its infancy, it seems that the role of green bond during a crisis should not be ignored, as it can be a hedger for some assets, while a contagion amplifier during crisis times.

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Section: Introductionmentioning

confidence: 99%

Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications

Naeem

Mbarki

Alharthi

et al. 2021

Front. Environ. Sci.

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show abstract

“…They found that Bitcoin and gold provide diversification benefits for oil and the S&P GSCI, and confirmed the importance of Bitcoin and gold in oil and S&P GSCI portfolio management. At the same time, Das et al [ 37 ] used a dummy variable GARCH and quantile regression model to examine the hedging and safe-haven properties of Bitcoin against crude oil implied volatility. Their results demonstrate that Bitcoin is not the superior asset over gold and US dollar to hedge oil related uncertainties.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses

2020

PLoS ONE

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This paper examines the sentiment spillovers among oil, gold, and Bitcoin markets by employing spillovers index methods in a time-frequency framework. We find that the total sentiment spillover among crude oil, gold and Bitcoin markets is time-varying and is greatly affected by major market events. The directional sentiment spillovers are also time-varying. On average, the Bitcoin market is the major transmitter of directional sentiment spillovers, whereas the crude oil and gold markets are the major receivers. In particular, the sentiment spillover effects are major created at high-frequency components, implying that the markets rapidly process the sentiment spillover effects and the shock is transmitted over the short-term. Moreover, we also find that the sentiment spillover effects differ significantly in term of intensity and direction when compared with return and volatility spillover effects. The present study has certain applications for investors and policymakers.

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“…Denote Δ as the changes in the log price of oil, as the oil producer returns, and , is the residual of an ARMA(1,1) model on the VIX, the relationship between a price change and shocks is specified as 1Here, is the oil supply shock, is the oil demand shocks, and is the risk shock. Following Das et al (2019), Δ is taken as the 1-month returns on NYMEX Light Sweet Oil contracts, Δ is the index return of MSCI All Country World Index, which covers large-and mediumsized oil producers from a total of 49 countries.…”

Section: Oil Supply Shock and Oil Demand Shockmentioning

confidence: 99%

“…For oil shocks, our data series is the same as Das et al (2019). That is, we use the MSCI ACWI Energy Index as our price for the oil and gas producers; the Light Sweet Oil (1-month returns)…”

Section: Datamentioning

confidence: 99%

Time and Frequency Connectedness Among Oil Shocks, Electricity and Clean Energy Markets

et al. 2020

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This paper examines the time and frequency dynamics of connectedness between oil price shocks (demand and supply), and energy, electricity, carbon and clean energy markets using the methodology developed by Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). The empirical findings show that there is time-varying connectedness among all variables in the sample. We find increased connectedness during the global financial crisis as well as in the shale oil revolution period. The total connectedness is more significant and higher in the short-term compared to the long-term. Net pairwise directional connectedness become more important during the shale oil revolution among oil supply, oil demand and clean energy index. The findings of the static full sample and sub-samples (GFC and SOR) provide significant evidence of the electricity futures as diversifier and safe-haven asset for oil shocks. These results can have important implications for investors and policymakers with different time horizons.

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Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar

Cited by 117 publications

References 28 publications

Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications

Did COVID-19 Impact the Connectedness Between Green Bonds and Other Financial Markets? Evidence From Time-Frequency Domain With Portfolio Implications

Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses

Time and Frequency Connectedness Among Oil Shocks, Electricity and Clean Energy Markets

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