Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar

By Debojyoti Das, C. L. Roux, Rabin K. Jana, Anupam Dutta. 2020

152 citations recorded by the source corpus.

Abstract In this article, we examine the hedging and safe-haven properties of Bitcoin against crude oil implied volatility (OVX) and structural shocks using a dummy variable GARCH and quantile regression model. In addition, we also compare the hedging and safe-haven performance of Bitcoin with gold, commodity and US Dollar. We conclude that Bitcoin is not the superior asset over others to hedge oil-related uncertainties. Besides, hedging capacity of different assets is conditional upon the nature of oil risks and market situation. Thus, investors may prefer different investment instruments to hedge downside risks in different economic situations and market states.

Subfields: Economics and Econometrics, Information Systems, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/fb7335e7694d0bd6def1d3fa72c92d1d2f14c949

Citations in the corpus

• Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020, unknown): “Following Das et al. (2019), Δpt is taken as the 1-month returns on NYMEX Light Sweet Oil contracts, ΔRt Prod is the index return of MSCI All Country World Index, which covers large- and mediumsized oil producers from a total of 49 countries.”