摘要：This paper examines the connectedness between Bitcoin and commodity volatilities,including oil, wheat, and corn, during the period Oct. 2013–Jun. 2018, using time- andfrequency-domain frameworks. The time-domain framework’s results show that the connectedness is23.49%, indicating a low level of connection between Bitcoin and the commodity volatilities. Bitcoincontributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% ofthe total connectedness. The frequency connectedness shows that Bitcoin’s contribution to the totalconnectedness increases from high-frequency to low-frequency bands, and the total connectednessreaches up to 22.47%. It also indicates that Bitcoin is the spillover transmitter to the wheat volatility,while being the spillover receiver from the oil and corn volatilities. The findings suggest that Bitcoincould be a hedger for commodity volatilities.
