Co-movements between Bitcoin and Gold: A wavelet coherence analysis

By Sang Hoon Kang, Ron P. McIver, Jose Arreola Hernandez. 2019

131 citations recorded by the source corpus.

In this paper, we use dynamic conditional correlations (DCCs) and wavelet coherence to examine the hedging and diversification properties of gold futures vis-a-vis Bitcoin prices. Our research aims to reveal whether the bubble patterns of behavior in gold futures prices can be used to hedge against the bubble behavior in the Bitcoin market in the short-term, and vice versa; as well as whether each can be used to manage and hedge overall market and sector downside risk of the other asset/commodity. We find evidence of volatility persistence, causality, and phase differences between Bitcoin and gold futures prices. Contagion is observed to increase during the European sovereign debt crisis. Wavelet coherence results indicate a relatively high degree of co-movement across the 8–16 weeks frequency band between Bitcoin and gold futures prices for the 2012–2015 time period.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d92958e7c7d428e3e8db980bb4ddf28fbd694b78

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Martínez-Rego
2. Carmine Ventre
3. Leslie Kanthan
4. Lingbo Li
5. Fan Wu
6. Fan Fang
7. H. Kong
8. Michail Basios

In Finance

1. David Martínez-Rego
2. Carmine Ventre
3. Leslie Kanthan
4. Lingbo Li
5. Fan Wu
6. Fan Fang
7. H. Kong
8. Michail Basios

Citations in the corpus

• The impact of macroeconomic news on Bitcoin returns (2020, unknown): “…included online Google search volume similar to Zhang et al. [2018], the relationship between cryptocurrencies and commodities such as oil and gold (Kang et al. [2019]; Celeste et al. [2019]), liquidity (as per Bariviera et al. [2017]) and interest rate and regulatory decisions across a variety of…”
• Cryptocurrency trading: a comprehensive survey (2020, background): “There have been some studies discussing correlations between cryptocurrencies and other financial markets (Kang et al. 2019; Castro et al. 2019), which can be used to predict the direction of the cryptocurrency market.”