![]() ![]() ![]() (2015) surveyed the literature on gold and concluded that gold had been an important investment class. Concerning gold, a comprehensive study by O'Connor et al. (2017) argued that the silver and gold had attracted the focus of researchers, however, it also acknowledged that silver, platinum and palladium do form a single asset class of homogeneous and interchangeable metals. In a study on overview of precious metals, Vigne et al. (2019) concluded that these kinds of assets are weak safe-haven for the global equity indices. In a comparative analysis which aimed to address the question that if Bitcoin is better safe-haven than gold and commodities, Shahzad et al. Surprisingly, it showed that there was no contagion risk. (2019) used a combination of the wavelet-based approaches and the GARCH-EVT-based value-at-risk (VaR) model to estimate the spillover effect in precious metals. They argued that there are substantial areas of potential synergy which are yet to be unexplored. For instance, Corbet, Lucey, Urquhart, & Yarovaya (2019) contributed to the existing literature by studying precious metals from a bibliometric and scientometric perspective. There are some studies which explored the link between financial assets and precious metals. Often, it is desirable to include some precious metals such as gold for portfolio diversification. Second, we focus on the question of the inclusion of gold and its position in cryptos portfolio. The previous approaches required the balanced dataset, which avoids the spurious results while transfer entropy accepts the unbalanced and nonstationary data ( Wollstadt et al., 2014). As transfer entropy focuses on information spillover dimension, the residual dimension (error terms) could be ignored ( Ji, Lau, & Roubaud, 2019). Hence, this method will be helpful in determining the performance of communication networks by informational flows transferred through returns changes. This approach outperforms other techniques employed previously by considering asymmetric and nonlinear effects ( Altiparmak and Dengiz, 2009). To investigate the spillover effects among cryptocurrency markets. First, we employ the ' transfer entropy' approach introduced by Schreiber (2000) and modified by Dimpfl and Peter (2013) 1 Where these new markets have brought new sources of potential risks to investors, they are also providing more ways to manage the risks. This remarkable growth is a manifestation of a new era of financialization based on virtual financial assets with a sense of big data and the fourth industrial revolution. In addition to the trading of cryptos, Chicago Mercantile Exchange (CME) and the Chicago Board Options Exchange (CBOE) have started to deal in a vast number of cryptos based financial instruments such as Bitcoin futures contracts ( Corbet, Lucey, Peat, & Vigne, 2018). While the Bitcoin ( Nakamoto, 2008) is the pioneer of the cryptocurrencies being prosed as an asset class for investment activities ( Corbet, Meegan, Larkin, Lucey, & Yarovaya, 2018), by the writing of this paper, there are about 2,144 types of cryptocurrencies which are currently traded in the market (, 2019). Our paper not only contributes in terms of the application of advanced empirical methodology but also provides evidence on idiosyncratic features of the cryptocurrency market.ĭespite the controversy and debate which has surrounded the cryptocurrency market since its inception, this market has gradually become one of the significant alternative investments venue in the global financial system. Further, investors should conduct portfolio rebalancing by including gold to hedge against the unexpected movement in the cryptocurrency market. In light of empirical results, it is advisable to carefully consider the coins with small capitalization. The results show that gold could be a good hedging instrument for cryptocurrencies due to its independence. Using the same approach, we further explored the link between gold prices and cryptocurrency prices. Interestingly, we document that the small coins are more likely to be shock creators in the cryptocurrency market. Our results suggest that among different types of cryptos, Bitcoin is still the most appropriate instrument for hedging, while Tether (USDT) which have a strong anchor with the US dollar is significantly volatile. To address this caveat, this paper attempts to investigate the spillover effects among 14 cryptocurrencies by employing transfer entropy. Remove the default server block of Nginx.The cryptocurrencies with small market capitalization are often overlooked despite they can potentially be the source of shocks to other cryptocurrencies in the market. ![]()
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