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Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests

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  • Rehman, Mobeen Ur
  • Apergis, Nicholas

Abstract

This paper examines the predictive power of crypto-currencies and real time commodity futures for each other. The sample for crypto-currencies consists of Bitcoin and Ethereum, while that for real time commodity futures of Gold, Silver, Copper, Crude Oil, Brent Oil, Natural Gas and Wheat on daily basis, spanning the period February 2, 2012 to December 31, 2017. Given that the past evidence of a non-linear structure of cryptocurrencies and real time commodity futures (Shahzad et al., 2017; Shahbaz et al., 2017), the analysis uses the novel methodology of causality on quantiles, proposed by Balcilar et al. (2016), for the case of a non-linear framework. The results highlight that significant causality runs from cryptocurrencies to commodity futures both in terms of mean and in volatility in the majority of the quantiles. These results carry substantial implications for investors, including both cryptocurrencies and commodity futures alone or along with traditional equities in a portfolio.

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  • Rehman, Mobeen Ur & Apergis, Nicholas, 2019. "Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests," Resources Policy, Elsevier, vol. 61(C), pages 603-616.
    • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:603-616
    DOI: 10.1016/j.resourpol.2018.08.015
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