Paper Info
Title
On the Dynamics of Solid, Liquid and Digital Gold Futures
Abstract
This paper examines the determinants of the volatility of futures prices and basis for three commodities: gold, oil and Bitcoin – often dubbed solid, liquid and digital gold – by using contract-by-contract analysis which has been previously applied to crude oil futures volatility investigations. By extracting the spot and futures daily prices as well as the maturity, trading volume and open interest data for the three assets from 18th December 2017 to 30th November 2021, we find a positive and significant role for trading volume and a possible negative influence of open interest (when significant) in shaping the volatility in all three assets, supporting earlier findings in the context of oil futures. Additionally, we find maturity has a relatively positive significance for Bitcoin and oil futures price volatility. Furthermore, our analysis demonstrates that maturity affects the basis of Bitcoin and gold positively – confirming the general theory that the basis converges to zero as maturity nears for Bitcoin and gold – while oil is affected in both directions.
Year
DOI
Venue
2022
10.1109/ICBC54727.2022.9805528
2022 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)
Keywords
DocType
ISBN
Bitcoin,gold,oil,futures,volatility,basis,maturity,trading volume,open interest
Conference
978-1-6654-9539-4
Citations 
PageRank 
References 
0
0.34
0
Authors
3
Name
Order
Citations
PageRank
Toshiko Matsui100.68
Ali Al-Ali200.34
William J. Knottenbelt357150.07