Investigating the nature of interaction between crypto-currency and commodity markets

【Author】 Bouazizi, Tarek; Galariotis, Emilios; Guesmi, Khaled; Makrychoriti, Panagiota

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This paper investigates the dynamic relationship and volatility spillovers between cryptocurrency and com-modity markets using different multivariate GARCH models. We take into account the nature of interaction between these markets and their transmission mechanisms when analyzing the conditional cross effects and volatility spillovers. Our results confirm the presence of significant returns and volatility spillovers, and we identify the GO-GARCH (2,2) as the best-fit model for modeling the joint dynamics of various financial assets. Our findings show significant dynamic linkages and volatility spillovers between gold, natural gas, crude oil, Bitcoin, and Ethereum prices. We find that gold can serve as a safe haven in times of economic uncertainty, as it is a good hedge against natural gas and crude oil price fluctuations. We also find evidence of bidirectional causality between crude oil and natural gas prices, suggesting that changes in one commodity's price can affect the other. Furthermore, we observe that Bitcoin and Ethereum are positively correlated with each other, but negatively correlated with gold and crude oil, indicating that these cryptocurrencies may serve as useful diversification tools for investors seeking to reduce their exposure to traditional assets. Our study provides valuable insights for investors and policymakers regarding asset allocation and risk management, and sheds light on the dynamics of financial markets.

【Keywords】Diag-BEKK model; CCC model; DCC model and GOGARCH model; Gold; Natural gas; Crude oil

【发表时间】2023 JUL

【收录时间】2023-07-11

【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