Title: Interaction between commodity market and cryptocurrencies

Authors: Fathi Jouini; Ahlem Selma Messai; Ines Mhadheb

Addresses: Faculty of Economic Sciences and Management of Sousse, University of Sousse, Sousse, 4023, Tunisia ' School of Business, King Faisal University, Al Ahsa, 31982, Saudi Arabia ' Faculty of Economic Sciences and Management of Tunis, University of Tunis El Manar, El Manar II, 2092 Tunis, Tunisia

Abstract: The aim of this study is to show that the Bitcoin market is not isolated but is rather influenced by commodity markets in terms of return and volatility. We used the return of Bitcoin, crude oil, gold, silver and wheat for a period from 3 January 2011 to 22 November 2017. Based on the EGARCH model estimate, the main results indicated that Bitcoin return is positively but weakly influenced by returns of crude oil, gold, silver, and wheat. The results also show an inverse relationship between the volatility of crude oil and Bitcoin. So Bitcoin is a strong hedge against energy products. For gold, silver and wheat, the absence of risk transmission to the Bitcoin market suggests diversification opportunities following investors to use Bitcoin with any of the three assets to reduce the portfolio risk.

Keywords: Bitcoin; volatility; commodity.

DOI: 10.1504/IJEBR.2022.123194

International Journal of Economics and Business Research, 2022 Vol.23 No.4, pp.465 - 481

Received: 18 Aug 2020
Accepted: 20 Nov 2020
Published online: 01 Jun 2022 *

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