Are energy block chain currencies affected by the major us energy markets?

dc.contributor.author Gurrib, Ikhlaas
dc.date.accessioned 2020-01-20T11:30:10Z
dc.date.available 2020-01-20T11:30:10Z
dc.date.copyright 2018
dc.date.issued 2019
dc.description Full text of this article is available in CUD LRC electronic resources at: https://search-proquest-com.ezp.cud.ac.ae/docview/2256130779?pq-origsite=summon en_US
dc.description.abstract While various economies have started to embark on a gradual shift towards renewable sources of energy, energy block chain based crypto currencies have emerged. The purpose of this study is to shed fresh light into whether an energy commodity price index (ENFX) and energy block chain based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. 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. 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 the lagged ENCX was significant in estimating current ENFX values. 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, and one standard deviation shock in ENCX left ENFX unaffected. Both indices had 1 structural break on different dates. Overall findings suggest that while the ENFX and ENCX are good representative of commodity energy prices and energy block chain based cryptos respectively, the two markets are not robust determinants of each other. © 2018, Econjournals. All rights reserved. en_US
dc.identifier.citation Gurrib, I. (2019). Are energy block chain currencies affected by the major us energy markets? International Journal of Energy Economics and Policy, 9(1), 218–227. https://doi.org/10.32479/ijeep.7163 en_US
dc.identifier.issn 21464553
dc.identifier.uri https://search-proquest-com.ezp.cud.ac.ae/docview/2256130779?pq-origsite=summon
dc.identifier.uri https://hdl.handle.net/20.500.12519/10
dc.language.iso en en_US
dc.publisher Econjournals en_US
dc.relation Author Affiliation: Gurrib, I., Faculty of Management, Canadian University Dubai, United Arab Emirates
dc.relation.ispartofseries International Journal of Energy Economics and Policy;Vol. 9, no. 1
dc.rights All articles published by IJEEP are made immediately available worldwide under an open access license.
dc.rights.holder Copyright : 2018, Econjournals. All rights reserved.
dc.rights.uri https://www.econjournals.com/index.php/ijeep/about/editorialPolicies#openAccessPolicy
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 Vector autoregressive en_US
dc.title Are energy block chain currencies affected by the major us energy markets? en_US
dc.type Article en_US
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