Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach
This study investigates the asymmetric shock transmission mechanisms between seven large cryptocurrencies and crude oil at different market conditions across time. Wavelet technique was used to decompose the daily return series of the assets into wavelet scales to capture trading horizons. We applie...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2082027 |
| _version_ | 1818202639765078016 |
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| author | Seyram Pearl Kumah Jones Odei-Mensah |
| author_facet | Seyram Pearl Kumah Jones Odei-Mensah |
| author_sort | Seyram Pearl Kumah |
| collection | DOAJ |
| description | This study investigates the asymmetric shock transmission mechanisms between seven large cryptocurrencies and crude oil at different market conditions across time. Wavelet technique was used to decompose the daily return series of the assets into wavelet scales to capture trading horizons. We applied quantile regression (QR) and quantile-in-quantile Regression (QQR) on the decomposed series to capture the bear (bull) market conditions. Applying the QR, we found Ethereum, Steller, Ripple and Monero as hedges for oil market volatility at all market regimes from medium to long terms. The QR undermined the hedging properties of Bitcoin, Litecoin and Das, suggesting possible spread of market disruptions from these markets to crude oil market. We observe from QQR that the assets have negative influence on each other at bear market but positive influence at bull market across time, signifying hedging possibilities for both assets in bear market. The significance of our finding is strengthened by the recent rise in the market share of cryptocurrencies. |
| first_indexed | 2024-12-12T03:12:39Z |
| format | Article |
| id | doaj.art-edbdc3c35e9b48179ecced2ca42697d2 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-12T03:12:39Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-edbdc3c35e9b48179ecced2ca42697d22022-12-22T00:40:22ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2082027Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approachSeyram Pearl Kumah0Jones Odei-Mensah1Department of Accounting Education, Akenten Appiah-Menka University of Skills Training and Entrepreneurial Development, Kumasi, GhanaUniversity of the Witwatersrand, Johannesburg, South AfricaThis study investigates the asymmetric shock transmission mechanisms between seven large cryptocurrencies and crude oil at different market conditions across time. Wavelet technique was used to decompose the daily return series of the assets into wavelet scales to capture trading horizons. We applied quantile regression (QR) and quantile-in-quantile Regression (QQR) on the decomposed series to capture the bear (bull) market conditions. Applying the QR, we found Ethereum, Steller, Ripple and Monero as hedges for oil market volatility at all market regimes from medium to long terms. The QR undermined the hedging properties of Bitcoin, Litecoin and Das, suggesting possible spread of market disruptions from these markets to crude oil market. We observe from QQR that the assets have negative influence on each other at bear market but positive influence at bull market across time, signifying hedging possibilities for both assets in bear market. The significance of our finding is strengthened by the recent rise in the market share of cryptocurrencies.https://www.tandfonline.com/doi/10.1080/23322039.2022.2082027Cryptocurrenciescrude oilasymmetric effectsMODWTquantile-in-quantile regressionC38 |
| spellingShingle | Seyram Pearl Kumah Jones Odei-Mensah Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach Cogent Economics & Finance Cryptocurrencies crude oil asymmetric effects MODWT quantile-in-quantile regression C38 |
| title | Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach |
| title_full | Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach |
| title_fullStr | Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach |
| title_full_unstemmed | Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach |
| title_short | Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach |
| title_sort | do cryptocurrencies and crude oil influence each other evidence from wavelet based quantile in quantile approach |
| topic | Cryptocurrencies crude oil asymmetric effects MODWT quantile-in-quantile regression C38 |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2082027 |
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