Dynamic Connectedness between Bitcoin, Gold, and Crude Oil Volatilities and Returns

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dc.authoridOzturk, Serda Selin/0000-0003-2758-9321
dc.contributor.authorOzturk, Serda Selin
dc.date.accessioned2024-07-18T20:50:42Z
dc.date.available2024-07-18T20:50:42Z
dc.date.issued2020
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis paper analyzes the connectedness among bitcoin, gold, and crude oil between 3 January 2017 and 31 December 2019. The paper's motivation is based upon the idea that bitcoin can be similar to gold in terms of its hedging properties and can be used for hedging for different assets. Moreover, although it is more metaphorical, bitcoin is also accepted because it is mined like crude oil, namely, a commodity. These similarities can be investigated by analyzing the connectedness among these financial assets. The connectedness results derived from both total connectedness and frequency connectedness methods indicate that volatility connectedness is higher than the return connectedness among these assets. Furthermore, connectedness in volatilities is mostly driven by medium frequency, although connectedness in returns mostly exists in high frequency. Therefore, these results suggest that investors should consider these financial assets for their diversification decisions. The results suggest that although diversification among these three assets is more difficult in the short- and medium-term, investors may benefit from diversification in the long-run.en_US
dc.identifier.doi10.3390/jrfm13110275
dc.identifier.issn1911-8066
dc.identifier.issn1911-8074
dc.identifier.issue11en_US
dc.identifier.scopus2-s2.0-85128485358en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.urihttps://doi.org/10.3390/jrfm13110275
dc.identifier.urihttps://hdl.handle.net/11411/8180
dc.identifier.volume13en_US
dc.identifier.wosWOS:000594007500001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherMdpien_US
dc.relation.ispartofJournal of Risk and Financial Managementen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectConnectednessen_US
dc.subjectFrequency Connectednessen_US
dc.subjectVolatilityen_US
dc.subjectBitcoinen_US
dc.subjectSpilloveren_US
dc.subjectSafe-Havenen_US
dc.subjectSpilloversen_US
dc.subjectCommodityen_US
dc.subjectDollaren_US
dc.subjectHedgeen_US
dc.titleDynamic Connectedness between Bitcoin, Gold, and Crude Oil Volatilities and Returnsen_US
dc.typeArticleen_US

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