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TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES

Year 2023, Issue: 66, 29 - 35, 31.12.2023

Zekai Şenol

https://doi.org/10.18070/erciyesiibd.1265120

Abstract

Cryptocurrencies have some advantages such as less regulation, lower transaction costs, and
decentralization compared to traditional investment instruments such as stocks and commodities.
From their emergence to the present day, cryptocurrencies have increased in price, volume and value
and have begun to take their place in portfolios. The relationships of cryptocurrencies with traditional
investment instruments can have implications for portfolio management. In this study, it were
examined that volatility spillovers between bitcoin and commodities consisting of gold, oil, natural
gas and commodity indices. Daily data for the period of 24 August 2016 – 13 January 2023 were
used in the study. The data were analyzed with causality in variance and time-varying causality test
developed by Lu, Hong, Wang, Lai, and Liu (2014). In the study, unidirectional volatility spillover from
bitcoin to gold and commodity index and from natural gas to bitcoin was observed. A low level of
time-varying volatility spillover has been identified between Bitcoin and commodities. The results are
important in terms of portfolio management, portfolio risk management and investment decisions.

Keywords

Bitcoin Gold Oil Commodity Volatility Spillover

References

  • Bandhu Majumder, S. (2022). Searching for hedging and safe haven assets for Indian equity market–a comparison between gold, cryptocurrency and commodities. Indian Growth and Development Review, 15(1), 60-84. https://doi.org/10.1108/IGDR-10-2021-0131
  • Będowska- Sojka, B., ve Kliber, A. (2022). Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective. Energy Economics, 115, 106360. https://doi.org/10.1016/j.eneco.2022.106360 Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics. 31, 307-327.
  • Bouri, E., Das, M., Gupta, R., ve Roubaud, D. (2018). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935-5949. https://doi.org/10.1080/00036846.2018.1488075
  • Elsayed, A. H., Gozgor, G., ve Yarovaya, L. (2022). Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices. Finance Research Letters, 47, 102732. https://doi.org/10.1016/j.frl.2022.102732
  • Fasanya, I. O., Oyewole, O. J., ve Oliyide, J. A. (2022). Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets. The Quarterly Review of Economics and Finance, 86, 347-364. https://doi.org/10.1016/j.qref.2022.08.009
  • Gronwald, M. (2019). Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply. Journal of International Money and Finance, 97, 86-92. https://doi.org/10.1016/j.jimonfin.2019.06.006
  • Hassan, M. K., Hasan, M. B., Halim, Z. A., Maroney, N., ve Rashid, M. M. (2022). Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks. The North American Journal of Economics and Finance, 61, 101700. https://doi.org/10.1016/j.najef.2022.101700
  • Hong, Y. (2001). A Test for volatility spillover with application to exchange rates. Journal of Econometrics. 103, 183-224.
  • Hsu, S. H., Sheu, C., ve Yoon, J. (2021). Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions. The North American Journal of Economics and Finance, 57, 101443. https://doi.org/10.1016/j.najef.2021.101443
  • Huang, Y., Duan, K., ve Urquhart, A. (2023). Time-varying dependence between Bitcoin and green financial assets: A comparison between pre-and post-COVID-19 periods. Journal of International Financial Markets, Institutions and Money, 82, 101687. https://doi.org/10.1016/j.intfin.2022.101687
  • Ji, Q., Bouri, E., Roubaud, D., ve Kristoufek, L. (2019). Information interdependence among energy, cryptocurrency and major commodity markets. Energy Economics, 81, 1042-1055. https://doi.org/10.1016/j.eneco.2019.06.005
  • Khalfaoui, R., Jabeur, S. B., ve Dogan, B. (2022). The spillover effects and connectedness among green commodities, bitcoins, and US stock markets: Evidence from the quantile VAR network. Journal of Environmental Management, 306, 114493. https://doi.org/10.1016/j.jenvman.2022.114493a
  • Kyriazis, Ν. A., ve Prassa, P. (2019). Which cryptocurrencies are mostly traded in distressed times?. Journal of Risk and Financial Management, 12(3), 135.
  • Liu, J., ve Serletis, A. (2019). Volatility in the cryptocurrency market. Open Economies Review, 30, 779-811. Lu, F., Hong, Y., Wang, S. Lai, K. ve Liu J. (2014). Time-varing Granger causality tests for applications in global crude oil markets. Energy Economics. 42, 289-298.
  • Maitra, D., Rehman, M. U., Dash, S. R., ve Kang, S. H. (2022). Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic. The North American Journal of Economics and Finance, 62, 101776. https://doi.org/10.1016/j.najef.2022.101776
  • Meiryani, M., Tandyopranoto, C. D., Emanuel, J., Lindawati, A. S. L., Fahlevi, M., Aljuaid, M., ve Hasan, F. (2022). The effect of global price movements on the energy sector commodity on bitcoin price movement during the COVID-19 pandemic. Heliyon, 8(10), e10820. https://doi.org/10.1016/j.heliyon.2022.e10820
  • Mo, B., Meng, J., ve Zheng, L. (2022). Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets. Resources Policy, 77, 102731. https://doi.org/10.1016/j.resourpol.2022.102731 Naeem, M. A., Farid, S., Balli, F., ve Hussain Shahzad, S. J. (2021). Hedging the downside risk of commodities through cryptocurrencies. Applied Economics Letters, 28(2), 153-160. https://doi.org/10.1080/13504851.2020.1739609
  • Narayan, P. K., Narayan, S., Rahman, R. E., ve Setiawan, I. (2019). Bitcoin price growth and Indonesia's monetary system. Emerging Markets Review, 38, 364-376. https://doi.org/10.1016/j.ememar.2018.11.005
  • Okorie, D. I., ve Lin, B. (2020). Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy. Energy economics, 87, 104703. https://doi.org/10.1016/j.eneco.2020.104703
  • Pham, S. D., Nguyen, T. T. T., ve Do, H. X. (2022). Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: evidence from China. Energy Economics, 112, 106114. https://doi.org/10.1016/j.eneco.2022.106114
  • Rao, A., Gupta, M., Sharma, G. D., Mahendru, M., ve Agrawal, A. (2022). Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets. International Journal of Managerial Finance, 18(4), 725-755. https://doi.org/10.1108/IJMF-04-2022-0165
  • Rehman, M. U., ve Apergis, N. (2019). Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests. Resources Policy, 61, 603-616. https://doi.org/10.1016/j.resourpol.2018.08.015
  • Urom, C., Abid, I., Guesmi, K., ve Chevallier, J. (2020). Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. Economic Modelling, 93, 230-258. https://doi.org/10.1016/j.econmod.2020.07.012
  • Uyar, U., ve Kahraman, I. K. (2019). The risk analysis of Bitcoin and major currencies: value at risk approach. Journal of Money Laundering Control, 22(1), 38-52. https://doi.org/10.1108/JMLC-01-2018-0005
  • Yermack, D. (2013). Is Bitcoin a real currency? An economic appraisal (No. w19747). National Bureau of Economic Research, 36(2), 843-850. https://coinmarketcap.com/charts/

BİTCOİN İLE EMTİALAR ARASINDAKİ ZAMANLA DEĞİŞEN VOLATİLİTE YAYILIMLARI

Year 2023, Issue: 66, 29 - 35, 31.12.2023

Zekai Şenol

https://doi.org/10.18070/erciyesiibd.1265120

Abstract

Kripto varlıklar pay senetleri ve emtialar gibi geleneksel yatırım araçlarıyla karşılaştırıldığında daha
az düzenleme, düşük işlem maliyetleri, merkeziyetsizlik gibi bazı avantajlara sahiptirler. Kripto
varlıklar ortaya çıkışlarından günümüze kadar fiyat, hacim ve değer bakımından artarak portföylerde
kendilerine yer edinmeye başlamışlardır. Kripto varlıkların geleneksel yatırım araçlarıyla olan ilişkileri
portföy yönetimi açısından sonuçlar ortaya çıkarabilir. Bu çalışmada bitcoin ile altın, petrol, doğal gaz
ve emtia endeksinden oluşan emtialar arasındaki volatilite yayılımları incelenmiştir. Çalışmada 24
Ağustos 2016 – 13 Ocak 2023 dönemine ait günlük veriler varyansta nedensellik ve Lu, Hong, Wang,
Lai ve Liu (2014) tarafından geliştirilen zamanla değişen varyansta nedensellik testiyle incelenmiştir.
Çalışmada bitcoinden altın ve emtia endeksine doğru ve doğal gazdan bitcoine doğru tek yönlü
volatilite yayılımı görülmüştür. Bitcoin ile emtilar arasında düşük düzeyde zamanla değişen volatilite
yayılımı belirlenmiştir. Sonuçlar portföy yönetimi, portföy riskinin yönetilmesi, yatırım kararları
açısından önem taşımaktadır.

Keywords

Bitcoin Altın Petrol Emtia Volatilite Yayılımı

References

  • Bandhu Majumder, S. (2022). Searching for hedging and safe haven assets for Indian equity market–a comparison between gold, cryptocurrency and commodities. Indian Growth and Development Review, 15(1), 60-84. https://doi.org/10.1108/IGDR-10-2021-0131
  • Będowska- Sojka, B., ve Kliber, A. (2022). Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective. Energy Economics, 115, 106360. https://doi.org/10.1016/j.eneco.2022.106360 Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics. 31, 307-327.
  • Bouri, E., Das, M., Gupta, R., ve Roubaud, D. (2018). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935-5949. https://doi.org/10.1080/00036846.2018.1488075
  • Elsayed, A. H., Gozgor, G., ve Yarovaya, L. (2022). Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices. Finance Research Letters, 47, 102732. https://doi.org/10.1016/j.frl.2022.102732
  • Fasanya, I. O., Oyewole, O. J., ve Oliyide, J. A. (2022). Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets. The Quarterly Review of Economics and Finance, 86, 347-364. https://doi.org/10.1016/j.qref.2022.08.009
  • Gronwald, M. (2019). Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply. Journal of International Money and Finance, 97, 86-92. https://doi.org/10.1016/j.jimonfin.2019.06.006
  • Hassan, M. K., Hasan, M. B., Halim, Z. A., Maroney, N., ve Rashid, M. M. (2022). Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks. The North American Journal of Economics and Finance, 61, 101700. https://doi.org/10.1016/j.najef.2022.101700
  • Hong, Y. (2001). A Test for volatility spillover with application to exchange rates. Journal of Econometrics. 103, 183-224.
  • Hsu, S. H., Sheu, C., ve Yoon, J. (2021). Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions. The North American Journal of Economics and Finance, 57, 101443. https://doi.org/10.1016/j.najef.2021.101443
  • Huang, Y., Duan, K., ve Urquhart, A. (2023). Time-varying dependence between Bitcoin and green financial assets: A comparison between pre-and post-COVID-19 periods. Journal of International Financial Markets, Institutions and Money, 82, 101687. https://doi.org/10.1016/j.intfin.2022.101687
  • Ji, Q., Bouri, E., Roubaud, D., ve Kristoufek, L. (2019). Information interdependence among energy, cryptocurrency and major commodity markets. Energy Economics, 81, 1042-1055. https://doi.org/10.1016/j.eneco.2019.06.005
  • Khalfaoui, R., Jabeur, S. B., ve Dogan, B. (2022). The spillover effects and connectedness among green commodities, bitcoins, and US stock markets: Evidence from the quantile VAR network. Journal of Environmental Management, 306, 114493. https://doi.org/10.1016/j.jenvman.2022.114493a
  • Kyriazis, Ν. A., ve Prassa, P. (2019). Which cryptocurrencies are mostly traded in distressed times?. Journal of Risk and Financial Management, 12(3), 135.
  • Liu, J., ve Serletis, A. (2019). Volatility in the cryptocurrency market. Open Economies Review, 30, 779-811. Lu, F., Hong, Y., Wang, S. Lai, K. ve Liu J. (2014). Time-varing Granger causality tests for applications in global crude oil markets. Energy Economics. 42, 289-298.
  • Maitra, D., Rehman, M. U., Dash, S. R., ve Kang, S. H. (2022). Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic. The North American Journal of Economics and Finance, 62, 101776. https://doi.org/10.1016/j.najef.2022.101776
  • Meiryani, M., Tandyopranoto, C. D., Emanuel, J., Lindawati, A. S. L., Fahlevi, M., Aljuaid, M., ve Hasan, F. (2022). The effect of global price movements on the energy sector commodity on bitcoin price movement during the COVID-19 pandemic. Heliyon, 8(10), e10820. https://doi.org/10.1016/j.heliyon.2022.e10820
  • Mo, B., Meng, J., ve Zheng, L. (2022). Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets. Resources Policy, 77, 102731. https://doi.org/10.1016/j.resourpol.2022.102731 Naeem, M. A., Farid, S., Balli, F., ve Hussain Shahzad, S. J. (2021). Hedging the downside risk of commodities through cryptocurrencies. Applied Economics Letters, 28(2), 153-160. https://doi.org/10.1080/13504851.2020.1739609
  • Narayan, P. K., Narayan, S., Rahman, R. E., ve Setiawan, I. (2019). Bitcoin price growth and Indonesia's monetary system. Emerging Markets Review, 38, 364-376. https://doi.org/10.1016/j.ememar.2018.11.005
  • Okorie, D. I., ve Lin, B. (2020). Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy. Energy economics, 87, 104703. https://doi.org/10.1016/j.eneco.2020.104703
  • Pham, S. D., Nguyen, T. T. T., ve Do, H. X. (2022). Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: evidence from China. Energy Economics, 112, 106114. https://doi.org/10.1016/j.eneco.2022.106114
  • Rao, A., Gupta, M., Sharma, G. D., Mahendru, M., ve Agrawal, A. (2022). Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets. International Journal of Managerial Finance, 18(4), 725-755. https://doi.org/10.1108/IJMF-04-2022-0165
  • Rehman, M. U., ve Apergis, N. (2019). Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests. Resources Policy, 61, 603-616. https://doi.org/10.1016/j.resourpol.2018.08.015
  • Urom, C., Abid, I., Guesmi, K., ve Chevallier, J. (2020). Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. Economic Modelling, 93, 230-258. https://doi.org/10.1016/j.econmod.2020.07.012
  • Uyar, U., ve Kahraman, I. K. (2019). The risk analysis of Bitcoin and major currencies: value at risk approach. Journal of Money Laundering Control, 22(1), 38-52. https://doi.org/10.1108/JMLC-01-2018-0005
  • Yermack, D. (2013). Is Bitcoin a real currency? An economic appraisal (No. w19747). National Bureau of Economic Research, 36(2), 843-850. https://coinmarketcap.com/charts/
There are 25 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Zekai Şenol 0000-0001-8818-0752

Early Pub Date December 30, 2023
Publication Date December 31, 2023
Acceptance Date September 18, 2023
Published in Issue Year 2023 Issue: 66

Cite

APA Şenol, Z. (2023). BİTCOİN İLE EMTİALAR ARASINDAKİ ZAMANLA DEĞİŞEN VOLATİLİTE YAYILIMLARI. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(66), 29-35. https://doi.org/10.18070/erciyesiibd.1265120
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