Can energy commodities affect energy blockchain-based cryptos?

dc.contributor.author Gurrib, Ikhlaas
dc.date.accessioned 2020-03-05T10:51:32Z
dc.date.available 2020-03-05T10:51:32Z
dc.date.copyright 2019
dc.date.issued 2019-10
dc.description Full text of this article is available in CUD LRC electronic resources at:: https://www-proquest-com.ezp.cud.ac.ae/docview/2306074735?accountid=33975 en_US
dc.description.abstract Purpose: The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach: Using principal component analysis over daily data of crude oil, heating oil, natural gas and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Findings: Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX. Weak forecasting results of the VAR model, support the two markets are not robust forecasters of each other. Robustness wise, the VAR model ranked lower than an autoregressive model, but higher than a random walk model. Research limitations/implications: Significant structural breaks at distinct dates in the two markets reinforce that the two markets do not help to predict each other. The findings are limited by the existence of bubbles (December 2017-January 2018) which were witnessed in energy blockchain-based crypto markets and natural gas, but not in crude oil and heating oil. Originality/value: As per the authors’ knowledge, this is the first paper to analyze the relationship between leading energy commodities and energy blockchain-based crypto markets. © 2019, Emerald Publishing Limited. en_US
dc.identifier.citation Gurrib, I. (2019). Can energy commodities affect energy blockchain-based cryptos? Studies in Economics and Finance, 36(3), 682–699. https://doi.org/10.1108/SEF-10-2018-0313 en_US
dc.identifier.issn 10867376
dc.identifier.uri https://www-proquest-com.ezp.cud.ac.ae/docview/2306074735?accountid=33975
dc.identifier.uri http://hdl.handle.net/20.500.12519/191
dc.language.iso en en_US
dc.publisher Emerald Group Publishing Ltd. en_US
dc.relation Author Affiliation: Gurrib, I., School of Graduate Studies, Canadian University of Dubai, Dubai, United Arab Emirates
dc.relation.ispartofseries Studies in Economics and Finance;Vol. 36, no. 3
dc.rights This article is © Emerald Publishing Limited and permission has been granted for this version to appear here (https://repository.cud.ac.ae/). Emerald does not grant permission for this article to be further copied/distributed or hosted elsewhere without the express permission from Emerald Publishing Limited.
dc.rights.holder Copyright : 2019 Emerald Publishing Limited
dc.rights.uri
dc.subject Energy commodity en_US
dc.subject Energy crypto currencies en_US
dc.subject Impulse response en_US
dc.subject Structural break en_US
dc.subject VAR en_US
dc.title Can energy commodities affect energy blockchain-based cryptos? en_US
dc.type Article en_US
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