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

被引：101

作者：

Kang, Sang Hoon ^{[1
,2
]}

McIver, Ron P. ^{[2
]}

Hernandez, Jose Arreola ^{[3
]}

机构：

[1] Pusan Natl Univ, Dept Business Adm, Busan 609735, South Korea

[2] Univ South Australia, Sch Commerce, Adelaide, SA, Australia

[3] Rennes Sch Business, Rennes, Brittany, France

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 536卷

基金：

新加坡国家研究基金会;

关键词：

Bitcoin; Gold futures; Co-movement; Wavelet coherence analysis; Causality; STOCK-MARKET RETURNS; SAFE HAVEN; TIME-SERIES; UNIT-ROOT; HEDGE; INVESTMENT; ECONOMICS; DOLLAR; PRICE; OIL;

D O I：

10.1016/j.physa.2019.04.124

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2019 Published by Elsevier B.V.

引用

页数：9

共 52 条

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