比特币能对冲大宗商品的不确定性吗?

比特币能对冲大宗商品的不确定性吗?

Journal of Risk and Financial Management,

Volume 13, Issue 6

作者：Khanh Hoang,Cuong C. Nguyen，

Kongchheng Poch，Thang X. Nguyen

摘要：本文研究了2013年10月至2013年6月期间比特币与大宗商品波动(包括石油、小麦和玉米)之间的关联性。2018年，使用时域和频域框架。时域框架的结果显示，比特币的连通性为23.49%，表明比特币与商品波动之间的联系程度较低。比特币对互联性的贡献仅为2.55%，而小麦波动指数占总互联性的12.51%。频率连通性表明，比特币对总连通性的贡献从高频带增加到低频带，总连通性达到22.47%。这也表明比特币是小麦波动的溢出传播者，同时是石油和玉米波动的溢出接受者。本文研究结果表明，比特币可能是大宗商品波动的套期保值者。

Does Bitcoin Hedge Commodity Uncertainty?

Abstract:This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013–Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework’s results show that the connectedness is 23.49%, indicating a low level of connection between Bitcoin and the commodity volatilities. Bitcoin contributes on 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total connectedness. The frequency connectedness shows that Bitcoin’s contribution to the total connectedness increases from high-frequency to low-frequency bands, and the total connectedness reaches up to 22.47%. It also indicates that Bitcoin is the spillover tranitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest that Bitcoin could be a hedger for commodity volatilities.

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