Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets

【Author】 Mo, Bin; Meng, Juan; Zheng, Liping

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】This paper analyses the time and frequency dynamics of connectedness between cryptocurrencies and commodity sectors. It supports that cryptocurrency plays a virtual character in the global financial markets. The total spillovers from cryptocurrencies to commodity markets alternate during the COVID-19 period. The time-frequency domain spillover results illustrate that both in the short-run and long-run, cryptocurrencies contribute to the system as the main transmitter in risk spillover. Besides, the net spillover alternatives with time in different frequencies. The portfolio results illustrate that the hedging effect of cryptocurrencies varies among commodity sectors before and after COVID-19. After COVID-19 the cryptocurrencies show a better hedging tool in our system, especially the hedging effect of cryptocurrencies on ENTR and PMTR sectors. Furthermore, investors need to take cryptocurrencies into the portfolio and adjust the weight of cryptocurrencies according to the alternative hedging effectiveness index, especially after COVID-19.

【Keywords】Connectedness; Portfolio diversification; Cryptocurrencies; Commodity markets; COVID-19

【发表时间】2022 AUG

【收录时间】2022-08-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币