Abstract
Due to anonymity of users, low transaction costs, no middleman, and a rise in accepting Bitcoin payments, cryptocurrencies might seem attractive as a medium of exchange to potential consumers (Katsiampa, 2019). However, the Crypto Currency market is still under rapid development and evolution, the prices of currencies change drastically (Dr N Saraswati, 2022). Commodity market investment grew rapidly in the mid-2000s and attracted investors to hedge the risk against price fluctuations (Scott Main, Scott H Irwin, 2018). The Present research explores the hypothesis that Crypto Currency Returns exhibit volatile behavior, while Commodity Returns do not. Additionally, it investigates the relationship between Trading Volume and Returns in both markets, as well as the potential relationship between major Commodities and Crypto Currency Returns. The study utilizes a comprehensive dataset comprising historical price data from 2017 to February 2023 for Crypto Currencies and Commodities. Statistical methods, including standard deviation, Auto Regressive conditional heteroscedasticity employed to measure Volatility. The analysis will also examine the Correlation between Trading Volume and Returns in each market and explore the relationship between Commodities and Crypto Currencies by using co-integration test and Granger Causality tests. The findings of the study surely contribute to the understanding of the Volatility characteristics of both markets and their implications for investors. The findings of the study indicated that Commodities, such as Gold and crude oil, did not have a significant impact on Crypto Currencies. The analysis of Trading Volume and Returns revealed no substantial relationship between the two asset classes.
Published Version
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