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The nexus between black and digital gold: evidence from US markets

In the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copul...

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Autores principales: Huynh, Toan Luu Duc, Ahmed, Rizwan, Nasir, Muhammad Ali, Shahbaz, Muhammad, Huynh, Ngoc Quang Anh
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8295981/
https://www.ncbi.nlm.nih.gov/pubmed/34316086
http://dx.doi.org/10.1007/s10479-021-04192-z
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author Huynh, Toan Luu Duc
Ahmed, Rizwan
Nasir, Muhammad Ali
Shahbaz, Muhammad
Huynh, Ngoc Quang Anh
author_facet Huynh, Toan Luu Duc
Ahmed, Rizwan
Nasir, Muhammad Ali
Shahbaz, Muhammad
Huynh, Ngoc Quang Anh
author_sort Huynh, Toan Luu Duc
collection PubMed
description In the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robustness of the results. The stationary bootstrap test for the partial cross-quantilogram indicates which quantile in the left tail has a statistically significant relationship between Bitcoin and US oil returns. The study has crucial implications in terms of portfolio diversification using cryptocurrencies and oil-based hedging instruments.
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spelling pubmed-82959812021-07-23 The nexus between black and digital gold: evidence from US markets Huynh, Toan Luu Duc Ahmed, Rizwan Nasir, Muhammad Ali Shahbaz, Muhammad Huynh, Ngoc Quang Anh Ann Oper Res Original Research In the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robustness of the results. The stationary bootstrap test for the partial cross-quantilogram indicates which quantile in the left tail has a statistically significant relationship between Bitcoin and US oil returns. The study has crucial implications in terms of portfolio diversification using cryptocurrencies and oil-based hedging instruments. Springer US 2021-07-22 /pmc/articles/PMC8295981/ /pubmed/34316086 http://dx.doi.org/10.1007/s10479-021-04192-z Text en © The Author(s) 2021 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Original Research
Huynh, Toan Luu Duc
Ahmed, Rizwan
Nasir, Muhammad Ali
Shahbaz, Muhammad
Huynh, Ngoc Quang Anh
The nexus between black and digital gold: evidence from US markets
title The nexus between black and digital gold: evidence from US markets
title_full The nexus between black and digital gold: evidence from US markets
title_fullStr The nexus between black and digital gold: evidence from US markets
title_full_unstemmed The nexus between black and digital gold: evidence from US markets
title_short The nexus between black and digital gold: evidence from US markets
title_sort nexus between black and digital gold: evidence from us markets
topic Original Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8295981/
https://www.ncbi.nlm.nih.gov/pubmed/34316086
http://dx.doi.org/10.1007/s10479-021-04192-z
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