The Impact of Crude Oil Price Shocks on Bitcoin under the Russian–Ukrainian War

Yongjian Ma

doi:10.54691/bcpbm.v30i.2442

Authors

Yongjian Ma

DOI:

https://doi.org/10.54691/bcpbm.v30i.2442

Keywords:

The Russia-Ukraine Conflict, Crude Oil Price, Bitcoin.

Abstract

Nowadays, the Russian-Ukrainian war has been a hotly topic, and the war has shaken the global economy, especially in the international crude oil market. Also, as a popular financial instrument, the investors like to see Bitcoin as a hedging tool, but the problem of whether cryptocurrencies can hedge the volatility of commodity markets lacks a unified explanation. Therefore, the paper wants to find the relationship between Bitcoin and crude oil during the Russian-Ukrainian war. This paper uses data from Bitcoin, crude oil WTI futures, and crude oil Brent futures, and constructs the VAR model and ARMA-GARCH model based on these data. Ultimately, the article finds that the volatility of the international crude oil market only has little impact on Bitcoin. Thus, the investors do not need to worry about the high crude oil price caused by the war will affect Bitcoin’s yield and volatility, so Bitcoin seems like a great hedging instrument against the shock of the international crude oil market.

Downloads

Download data is not yet available.

References

Baur D G, Lee A D, Hong K. Bitcoin: currency or investment? [J]. Available at SSRN, 2015, 2561183.

Cheah E T, Fry J. Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin [J]. Economics letters, 2015, 130: 32-36.

Boungou W, Yatié A. The impact of the Ukraine–Russia war on world stock market returns [J]. Economics Letters, 2022, 215: 110516.

Ahmad S. Russia Ukraine Conflict-How War Affects the Stock Market [J]. Available at SSRN 4058001, 2022.

Orhan E. The Effects of the Russia-Ukraine War on Global Trade [J]. Journal of International Trade, Logistics and Law, 2022, 8(1): 141.

Kristoufek L. What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis [J]. PloS one, 2015, 10(4): e0123923.

Gronwald M. Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply [J]. Journal of international money and finance, 2019, 97: 86-92.

Bouoiyour J, Selmi R, Tiwari A K, et al. What drives Bitcoin price [J]. Economics Bulletin, 2016, 36(2): 843-850.

Ciaian P, Rajcaniova M, Kancs A. The economics of BitCoin price formation [J]. Applied economics, 2016, 48(19): 1799-1815.

Chuen D L E E K, Guo L, Wang Y. Cryptocurrency: A new investment opportunity? [J]. the journal of alternative investments, 2017, 20(3): 16-40.

Selmi R, Mensi W, Hammoudeh S, et al. Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold [J]. Energy Economics, 2018, 74: 787-801.

Wang P, Zhang W, Li X, et al. Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective [J]. Finance Research Letters, 2019, 31: 1-18.

Hasan M B, Hassan M K, Karim Z A, et al. Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty[J]. Finance Research Letters, 2022, 46: 102272.

Chakrabarti A, Ghosh J K. AIC, BIC and recent advances in model selection [J]. Philosophy of statistics, 2011: 583-605.

Choi S, Furceri D, Loungani P, et al. Oil prices and inflation dynamics: Evidence from advanced and developing economies [J]. Journal of International Money and Finance, 2018, 82: 71-96.