Bitcoin;
Green assets;
Traditional assets;
Asymmetric effects;
Quantile-on-Quantile method;
SAFE-HAVEN;
STOCKS;
HEDGE;
D O I:
10.1016/j.iref.2023.06.036
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
This paper studies asymmetric spillovers from Bitcoin to green and traditional assets by using a full distributional framework established by a recently-developed Quantile-on-Quantile approach. The spillovers from gold to the same are further studied to compare the effectiveness of the underlying digital investment shelter of Bitcoin with its traditional counterpart of gold. Statistical evidence indicates that the cross-market spillover features evident asymmetry and non-linearity from three perspectives involving various quantiles of the joint distribution of dependent and independent variables, data in return and volatility, and before/after the COVID-19 pandemic. The investment sheltering role of Bitcoin is examined by its weakly positive, negligible, or even negative dependence with financial assets under different market conditions, while such the role is found to be relatively stronger for green assets compared to that for traditional assets. Moreover, the digital investment shelter is shown to be more effective than the traditional shelter given Bitcoin's weaker or even more negative dependence with both green and traditional financial assets than gold. Additional analyses confirm the robustness of our findings that should be of interest to various stakeholders.
机构:
Holy Spirit Univ Kasl, USEK Business Sch, Jounieh, LebanonHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Bouri, Elie
Shahzad, Syed Jawad Hussain
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, Montpellier, France
South Ural State Univ, 76 Lenin Prospekt, Chelyabinsk, RussiaHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Shahzad, Syed Jawad Hussain
Roubaud, David
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, Ctr Energy & Sustainable Dev, Montpellier, FranceHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Roubaud, David
Kristoufek, Ladislav
论文数: 0引用数: 0
h-index: 0
机构:
Charles Univ Prague, Fac Social Sci, Inst Econ Studies, Prague, Czech RepublicHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Kristoufek, Ladislav
Lucey, Brian
论文数: 0引用数: 0
h-index: 0
机构:
Trinity Coll Dublin, Trinity Business Sch, Dublin 2, IrelandHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
机构:
Harvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
Coglianese, John
Davis, Lucas W.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA
Univ Calif Berkeley, Energy Inst Haas, Berkeley, CA 94720 USA
Natl Bur Econ Res, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
Davis, Lucas W.
论文数: 引用数:
h-index:
机构:
Kilian, Lutz
Stock, James H.
论文数: 0引用数: 0
h-index: 0
机构:
Harvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
Harvard Univ, Dept Econ, 1805 Cambridge St, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
机构:
Holy Spirit Univ Kasl, USEK Business Sch, Jounieh, LebanonHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Bouri, Elie
Shahzad, Syed Jawad Hussain
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, Montpellier, France
South Ural State Univ, 76 Lenin Prospekt, Chelyabinsk, RussiaHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Shahzad, Syed Jawad Hussain
Roubaud, David
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, Ctr Energy & Sustainable Dev, Montpellier, FranceHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Roubaud, David
Kristoufek, Ladislav
论文数: 0引用数: 0
h-index: 0
机构:
Charles Univ Prague, Fac Social Sci, Inst Econ Studies, Prague, Czech RepublicHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
Kristoufek, Ladislav
Lucey, Brian
论文数: 0引用数: 0
h-index: 0
机构:
Trinity Coll Dublin, Trinity Business Sch, Dublin 2, IrelandHoly Spirit Univ Kasl, USEK Business Sch, Jounieh, Lebanon
机构:
Harvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
Coglianese, John
Davis, Lucas W.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA
Univ Calif Berkeley, Energy Inst Haas, Berkeley, CA 94720 USA
Natl Bur Econ Res, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
Davis, Lucas W.
论文数: 引用数:
h-index:
机构:
Kilian, Lutz
Stock, James H.
论文数: 0引用数: 0
h-index: 0
机构:
Harvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA
Harvard Univ, Dept Econ, 1805 Cambridge St, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr, John F Kennedy Sch Govt, 1805 Cambridge St, Cambridge, MA 02138 USA