Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China

Pham, Son Duy; Nguyen, Thao T.T.; Xuan, Hung

doi:10.1016/j.eneco.2022.106114

Cited by 15 publications

(3 citation statements)

References 82 publications

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“…Energy sectors have become commodities markets in recent years on a global scale and as a powerful financial tool to attract investors (Pham et al 2022). Sadorsky (2012) and Zheng et al (2022) investigate the stock market and volatility spillover impact among renewable energy, oil, and high-technology markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility spillovers among leading cryptocurrencies and US energy and technology companies

Alamaren,

Gokmenoglu,

Taspinar

2024

Financ Innov

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This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four energy companies (Exxon Mobil, Chevron, ConocoPhillips, and Nextera Energy), and four mega-technology companies (Apple, Microsoft, Alphabet, and Amazon) in the US. We analyze data for the period November 15, 2017–October 28, 2022 using methodologies in Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Economet 16(2):271–296 2018). Our analysis shows the COVID-19 pandemic amplified volatility spillovers, thereby intensifying the impact of financial contagion between markets. This finding indicates the impact of the pandemic on the US economy heightened risk transmission across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility transmitters, while Tether, BNB, Exxon Mobil, Nextera Energy, Alphabet, and Amazon are net receivers Our results suggest that short-term volatility spillovers outweigh medium- and long-term spillovers, and that investors should be more concerned about short-term repercussions because they do not have enough time to act quickly to protect themselves from market risks when the US market is affected. Furthermore, in contrast to short-term dynamics, longer term patterns display superior hedging efficiency. The net-pairwise directional spillovers show that Alphabet and Amazon are the highest shock transmitters to other companies. The findings in this study have implications for both investors and policymakers.

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Section: Literature Reviewmentioning

confidence: 99%

Volatility spillovers among leading cryptocurrencies and US energy and technology companies

Alamaren,

Gokmenoglu,

Taspinar

2024

Financ Innov

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“…Pasar berjangka batu bara termal China secara signifikan bergantung pada volatilitas pasar mata uang kripto [8]. Ini menunjukkan bahwa harga batu bara dapat mempengaruhi return cryptocurrency.…”

Section: Kapitalisasi Pasarunclassified

Analisis Pengaruh World Commodity Price terhadap Harga Bitcoin dengan Indeks Dolar sebagai Variabel Moderasi

Milando,

Rahim,

Adrianto

2023

INFEB

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Bitcoin merupakan salah satu instrumen investasi yang dapat memberikan keuntungan dan telah mendapatkan izin untuk diperdagangkan oleh Badan Pengawas Perdagangan Berjangka Komoditi Indonesia. Keberadaan investasi mata uang digital kini semakin populer di berbagai belahan dunia, termasuk di Indonesia, yang didorong oleh lonjakan harga yang signifikan. Tujuan utama penelitian ini adalah untuk mengetahui pengaruh World Comodity Price terhadap harga Bitcoin. Penelitian ini merupakan penelitian kuantitatif. Jenis data dalam penelitian ini adalah data time series yang diambil dari laporan transaksi bulanan Bitcoin Januari 2016 sampai dengan Desember 2022, sehingga didapatkan target populasi sebanyak 84 data bulanan untuk yang menjadi sampel penelitian. Metode analisis data dalam penelitian ini menggunakan model regresi Moderate Regression Analysis (MRA) dan analisis data menggunakan software statistik STATA. Hasil analisis data menunjukkan variabel harga emas dunia berpengaruh positif signifikan terhadap harga Bitcoin, sedangkan variabel harga minyak dunia (WTI) dan harga batu bara tidak memiliki pengaruh yang signifikan terhadap harga Bitcoin. Indeks dolar (dxy) memperkuat pengaruh positif kenaikan harga emas terhadap harga Bitcoin.

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“…Unarguably, a specific event study and the abnormal return can be considered in future research using the methodology in the study (Umar et al 2022b) to track the abnormal return. Future studies can use realized semivariance (Brown and Warner 1985) Note: ***,**, and * denote 10%, 5%, and 1% statistical significance levels, respectively (Barndorff-Nielsen et al 2008;Pham et al 2022b), which is helpful from the high-frequency data, to test the reliability of the empirical findings. It would investigate how energy markets linked to minerals and metals prices around the war event, where a certain amount of both types of energy is required to exploit metal resources and heavily relies on it, which directly impacts the price and future investment.…”

Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

Do all renewable energy stocks react to the war in Ukraine? Russo-Ukrainian conflict perspective

Mohammed

Usman

Ahmad

et al. 2022

Environ Sci Pollut Res

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This study investigates how renewable energy markets reacted to the war in Ukraine in 2022 using event study and network connectedness analyses and compares this effect to traditional energy sources. Combining event study with connectedness analysis is of great interest in identifying abnormal returns from the Russia-Ukraine conflict event. The risk-return profiles make clean energy more appealing to investors, and increased investment in clean energy subsectors leads to improved climate change mitigation. Sampled data are wrangled daily from 03 August 2021 to 30 March 2022. The results confirm that renewable energy markets have positive and significant cumulative abnormalities while traditional energy markets are heavily affected during the post-war. Moreover, we find higher pairwise return connectedness after the announcement event than during and before the war in Ukraine. The geothermal and full cell markets are the more robust net information transmitter to other clean energy subsectors. Finally, renewable energy appeared more pertinent during and after the Russian invasion of Ukraine, given its properties to serve diversifications and hedging tools.

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Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China

Cited by 15 publications

References 82 publications

Volatility spillovers among leading cryptocurrencies and US energy and technology companies

Volatility spillovers among leading cryptocurrencies and US energy and technology companies

Analisis Pengaruh World Commodity Price terhadap Harga Bitcoin dengan Indeks Dolar sebagai Variabel Moderasi

Do all renewable energy stocks react to the war in Ukraine? Russo-Ukrainian conflict perspective

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