Information interdependence among energy, cryptocurrency and major commodity markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10395419" target="_blank" >RIV/00216208:11230/19:10395419 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=verq0MipFn" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=verq0MipFn</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2019.06.005" target="_blank" >10.1016/j.eneco.2019.06.005</a>
Alternative languages
Result language
angličtina
Original language name
Information interdependence among energy, cryptocurrency and major commodity markets
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Economics
ISSN
0140-9883
e-ISSN
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Volume of the periodical
81
Issue of the periodical within the volume
June
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
1042-1055
UT code for WoS article
000478710000078
EID of the result in the Scopus database
2-s2.0-85068071143