Detail publikace

Ji, Q. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Information interdependence among energy, cryptocurrencies and major commodity markets

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Qiang Ji, Elie Bouri, David Roubaud
Typ: Články v impaktovaných časopisech
Rok: 2019
Číslo: 0
ISSN / ISBN:
Publikováno v: Energy Economics 81, pp. 1042-1055 PDF
Místo vydání:
Klíčová slova: transfer entropy; commodity market; cryptocurrency; information spillover; integration
JEL kódy:
Citace:
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: The relationship between conventional and digital assets has become a prominent research topic, 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, revealing 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, and this integration has an increasing trend.
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