Information interdependence among energy, cryptocurrency and major commodity markets

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Information interdependence among energy, cryptocurrency and major commodity markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Information interdependence among energy, cryptocurrency and major commodity markets

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

—

Svazek periodika

81

Číslo periodika v rámci svazku

June

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

1042-1055

Kód UT WoS článku

000478710000078

EID výsledku v databázi Scopus

2-s2.0-85068071143