Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures

저자 : Joo, Young C., and Sung Y. Park.
학술지 : The North American Journal of Economics and Finance
발간일 : 2024년 5월
원문 링크 : https://doi.org/10.1016/j.najef.2024.102127

“There is increased interest in the dynamic relationships between cryptocurrency and commodity futures. This study examines the hedging performance of four well-known commodity futures against fluctuations in Bitcoin prices. Furthermore, this study used the DCC- and ADCC-MGARCH models to estimate conditional correlations and time-varying optimal hedge ratios between the returns of copper, gas, gold, and crude oil futures, and Bitcoin. We use a rolling window method to calculate one-step-ahead time-varying optimal hedge ratios and evaluate hedging performance. The empirical results show that gas and gold have hedge benefits to Bitcoin. However, crude oil shows poor hedge performance. From the results of one-step-ahead hedge ratios, for copper and oil, we find that hedge ratios increased and hedge effectiveness improved since the COVID-19 outbreak.”