Co-movements between Bitcoin and Gold: A wavelet coherence analysis

Sang Hoon Kang1,2, Ron P. McIver2, Jose Arreola Hernandez3
1Department of Business Administration, Pusan National University, Busan 609-735, Republic of Korea
2School of Commerce, University of South Australia, Australia
3Rennes School of Business, Rennes, Brittany, France

Tài liệu tham khảo

Baur, 2010, Is gold a safe haven? international evidence, J. Bank. Financ., 34, 1886, 10.1016/j.jbankfin.2009.12.008 Capie, 2005, Gold as a hedge against the dollar, J. Int. Financ. Markets, Inst. Money, 15, 343, 10.1016/j.intfin.2004.07.002 Sjaastad, 2008, The price of gold and the exchange rates: Once again, Resour. Policy, 33, 118, 10.1016/j.resourpol.2007.10.002 Tully, 2007, A power GARCH examination of the gold market, Res. Int. Bus. Finance, 21, 316, 10.1016/j.ribaf.2006.07.001 Zagaglia, 2013, Gold and the U.S. dollar: Tales from the turmoil, Quant. Finance, 13, 571, 10.1080/14697688.2012.708431 Batten, 2010, The macroeconomic determinants of volatility in precious metals markets, Resour. Policy, 35, 65, 10.1016/j.resourpol.2009.12.002 Bampinas, 2015, Are gold and silver a hedge against inflation? a two century perspective, Int. Rev. Financ. Anal., 41, 267, 10.1016/j.irfa.2015.02.007 Beckmann, 2013, Gold as an inflation hedge in a time-varying coefficient framework, N. Am. J. Econom. Finance, 24, 208, 10.1016/j.najef.2012.10.007 Worthington, 2007, Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks, Appl. Financ. Econom. Lett., 3, 259, 10.1080/17446540601118301 O’Connor, 2015, The financial economics of gold — A survey, Int. Rev. Financ. Anal., 41, 186, 10.1016/j.irfa.2015.07.005 Kristofer, 2016, Gold, currencies and market efficiency, Physica A, 449, 27, 10.1016/j.physa.2015.12.075 Lucy, 2017, Gold and inflation(s) – a time-varying relationship, Econ. Model., 67, 88, 10.1016/j.econmod.2016.10.008 Baur, 2010, Is gold a hedge or a safe haven? an analysis of stocks, bonds and gold,, Financ. Rev., 45, 217, 10.1111/j.1540-6288.2010.00244.x Ciner, 2013, Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates, Int. Rev. Financ. Anal., 29, 202, 10.1016/j.irfa.2012.12.001 Bekiros, 2017, Black swan events and safe havens: The role of gold in globally integrated emerging markets, J. Int. Money Finance, 73, 317, 10.1016/j.jimonfin.2017.02.010 Hood, 2013, Is gold the best hedge and a safe haven under changing stock market volatility?, Rev. Financ. Econom., 22, 47, 10.1016/j.rfe.2013.03.001 Gürgün, 2014, Is gold a safe haven against equity market investment in emerging and developing countries?, Finance Res. Lett., 11, 341, 10.1016/j.frl.2014.07.003 Bampinas, 2015, On the relationship between oil and gold before and after financial crisis: Linear, nonlinear and time-varying causality testing, Stud. Nonlinear Dyn. Econom., 19, 657 Li, 2017, Reassessing the role of precious metals as safe havens – what colour is your haven and why?, J. Commodity Markets, 7, 1, 10.1016/j.jcomm.2017.05.003 Bredin, 2015, Does gold glitter in the long-run? gold as a hedge and safe haven across time and investment horizon, Int. Rev. Financ. Anal., 41, 320, 10.1016/j.irfa.2015.01.010 Dwyer, 2015, The economics of bitcoin and similar private digital currencies, J. Financ. Stab., 17, 81, 10.1016/j.jfs.2014.11.006 Selgin, 2015, Synthetic commodity money, J. Financ. Stab., 17, 92, 10.1016/j.jfs.2014.07.002 Baek, 2015, Bitcoins as an investment or speculative vehicle? a first look, Appl. Econ. Lett., 22, 30, 10.1080/13504851.2014.916379 Cheah, 2015, Speculative bubbles in bitcoin market? an empirical investigation into the fundamental value of bitcoin, Econom. Lett., 130, 32, 10.1016/j.econlet.2015.02.029 W.E. Weber, A Bitcoin standard: Lessons from the gold standard, Bank of Canada Staff Working Paper 2016-14 (2016) available at: www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-14.pdf. Baur, 2018, Bitcoin, gold and the US dollar-a replication and extension, Finance Res. Lett., 25, 103, 10.1016/j.frl.2017.10.012 Ciaian, 2016, The economics of bitcoin price formation, Appl. Econ., 48, 1799, 10.1080/00036846.2015.1109038 Chaim, 2019, Is bitcoin a bubble?, Physica A, 517, 222, 10.1016/j.physa.2018.11.031 Bouri, 2017, Bitcoin for energy commodities before and after the crash: Diversifier, hedge or safe haven?, Appl. Econ., 49, 5063 Feng, 2018, CaN cryptocurrencies be a safe haven: A tail risk perspective analysis, Appl. Econ., 50, 4745, 10.1080/00036846.2018.1466993 Omane-Adjepong, 2019, Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility, Physica A, 514, 105, 10.1016/j.physa.2018.09.013 Uddin, 2018, The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis, Physica A, 495, 30, 10.1016/j.physa.2017.12.025 Uddin, 2018, Time-varying evidence of efficiency, decoupling, and diversification of conventional and islamic stocks, Int. Rev. Financ. Anal., 56, 167, 10.1016/j.irfa.2018.01.008 Marshall, 1994, The role of the investment horizon in optimal portfolio sequencing (an intuitive demonstration in discrete time), Financ. Rev., 29, 557, 10.1111/j.1540-6288.1994.tb00410.x Graham, 2013, Short-term and long-term dependencies of the S & P 500 index and commodity prices, Quant. Finance, 13, 583, 10.1080/14697688.2013.768773 Dyhrberg, 2016, Bitcoin, gold and the dollar: A GARCH volatility analysis, Finance Res. Lett., 16, 85, 10.1016/j.frl.2015.10.008 Dyhrberg, 2016, Hedging capabilities of bitcoin. is it the virtual gold?, Finance Res. Lett., 16, 139, 10.1016/j.frl.2015.10.025 Bouri, 2017, On the hedge and safe haven properties of bitcoin: Is it really more than a diversifier?, Finance Res. Lett., 20, 192, 10.1016/j.frl.2016.09.025 Engle, 2002, Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, J. Bus. Econom. Statist., 20, 339, 10.1198/073500102288618487 Rua, 2009, International co-movement of stock returns: A wavelet analysis, J. Empir. Financ., 11, 632, 10.1016/j.jempfin.2009.02.002 Loh, 2013, Co-movment of asia-pacific with european and US stock market returns: A cross-time-frequency analysis, Res. Int. Bus. Finance, 29, 1, 10.1016/j.ribaf.2013.01.001 Torrence, 1998, A practical guide to wavelet analysis, Bull. Amer. Meteorol. Soc., 79, 61, 10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2 Torrence, 1999, Interdecadal changes in the enso-monsoon system, J. Clim., 12, 2679, 10.1175/1520-0442(1999)012<2679:ICITEM>2.0.CO;2 Reboredo, 2013, Is gold a hedge or safe haven against oil price movements?, Resour. Policy, 38, 130, 10.1016/j.resourpol.2013.02.003 Dickey, 1979, Distribution of the estimators for autoregressive time series with a unit root, J. Amer. Statist. Assoc., 74, 427 Philips, 1988, Testing for unit roots in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335 Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series are non-stationary?, J. Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y Hosking, 1980, The multivariate portmanteau statistics, J. Amer. Statist. Assoc., 75, 602, 10.1080/01621459.1980.10477520 McLeod, 1983, Diagnostic checking of ARMA time series models using squared residual autocorrelations, J. Time Series Anal., 4, 269, 10.1111/j.1467-9892.1983.tb00373.x Corbet, 2018, Exploring the dynamic relationships between cryptocurrencies and other financial assets, Econom. Lett., 165, 28, 10.1016/j.econlet.2018.01.004