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Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework

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  • Feng, Hao
  • Gao, Da
  • Duan, Kun
  • Urquhart, Andrew

Abstract

This paper studies the impact of Bitcoin on decomposed oil price shocks within a quantile-based framework, through which the underlying investment sheltering role of Bitcoin for various oil price fluctuations is explored. The aggregate oil price shock is decomposed into three perspectives of the demand, the supply, and the changing attitudes towards risk. A comparison of the sheltering role between Bitcoin and gold is further evaluated. By using a non-parametric causality test, we find that there exists an asymmetric and unidirectional causal relationship from Bitcoin/gold to oil shocks. Such the unidirectional causality appears only to the demand and supply shocks of oil instead of the risk-specific shocks, and is more evident at median quantiles. By jointly considering the data distribution of both dependent and independent variables realized by a quantiles-on-quantiles method, both Bitcoin and gold generally depict the hedge and safe haven abilities for oil shocks, and such the ability is shown to be different not only between Bitcoin and gold but also for various sources of oil shocks. The sheltering role of gold is found to be greater than that of Bitcoin for the supply shock, while the results reverse for the demand shock. Moreover, shocks from the identified shocks from the COVID-19 pandemic and the Russia–Ukraine conflict are found to not change the cross-market relationship. A series of robustness checks confirm our findings that possess important implications for various stakeholders.

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  • Feng, Hao & Gao, Da & Duan, Kun & Urquhart, Andrew, 2023. "Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework," International Review of Financial Analysis, Elsevier, vol. 89(C).
    • Handle: RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002727
    DOI: 10.1016/j.irfa.2023.102756
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