Abstract
Abstract This paper examines the volatility connectedness between crude oil spot prices and cryptocurrencies. Given that cryptocurrency markets are perceived as commodity markets, there exist some levels of effects from and to other markets like the crude oil (petroleum) market. Using the VAR − MGARCH − GJR − BEKK techniques and the Wald tests, we found evidence of bidirectional volatility spillover between the crude oil market and Bit Capital Vendor as well as a unidirectional volatility spillover effect from crude oil market to Bitcoin Cash market and finally, Ethereum, XRP, and ReddCoin cryptocurrency markets have a significant unidirectional volatility spillover to the crude oil markets. In addition, while the hedging potentials of crude oil assets on Ethereum cryptocurrency may be short-lived, the crude oil asset hedging potentials for Solve, Elastos and Bit Capital Vendor are rather long-lived into the future.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
