Information interdependence among energy, cryptocurrency and major commodity markets

By Qiang Ji, Elie Bouri, David Roubaud, Ladislav Kristoufek. Energy Economics, 2019

261 citations recorded by the source corpus.

Abstract The relationship between conventional and digital assets has become a prominent research topic, a focus partially emerging from the establishment of some large cryptocurrencies as legitimate financial assets. In this paper, we examine the information interdependence among various commodities—such as energy, metals and agricultural commodities—and leading cryptocurrencies. We use a time-varying entropy-based approach to identify the direction of return spillovers, and the results show that the nature of information spillovers changes over time, with cryptocurrencies becoming more connected and more prominent within the system; in contrast, the role of energy commodities is dependent on their price dynamics. We also apply a minimum spanning tree (MST) and various centrality measures, which reveal that agricultural and energy commodities form the core of the commodities network. The basic skeleton of the network remains rather stable over time even though the detailed connections are rather volatile. Our findings generally suggest that cryptocurrencies are integrated within broadly-defined commodity markets.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/88ddf6c7c3985a168fb6f4669bbf1af9501e310a

How researchers see this paper

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In Economics and Econometrics

  1. Sowmya Subramaniam
  2. Anamika
  3. Madhumita Chakraborty

In Information Systems

  1. Sowmya Subramaniam
  2. Anamika
  3. Madhumita Chakraborty

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