Dynamic connectedness between Bitcoin and equity market information across BRICS countries Evidence from TVP-VAR connectedness approach

被引:50
作者
Dahir, Ahmed Mohamed [1 ]
Mahat, Fauziah [1 ]
Noordin, Bany-Ariffin Amin [2 ]
Ab Razak, Nazrul Hisyam [3 ]
机构
[1] Univ Putra Malaysia, Fac Econ & Management, Serdang, Malaysia
[2] Univ Putra Malaysia, Fac Econ & Management, Dept Accounting & Finance, Serdang, Malaysia
[3] Univ Putra Malaysia, Serdang, Malaysia
关键词
TVP-VAR; Bitcoin; BRICS; Connectedness; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; RETURN; CRYPTOCURRENCIES; COMMODITY; EXCHANGE; GOLD; INEFFICIENCY; PRICES; ENERGY;
D O I
10.1108/IJMF-03-2019-0117
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Purpose Recent trends and developments in Bitcoin have led to a proliferation of studies that analyzed the Bitcoin returns and volatility; however, the volatility connectedness between Bitcoin and equity market information in emerging countries quietly remains scarce. Regarding this deficiency, the purpose of this paper is to examine the dynamic connectedness between Bitcoin and equity market information. Design/methodology/approach Daily data from January 1, 2012 to May 31, 2018 are used. The paper applies a novel time-varying parameter vector autoregression (TVP-VAR) model extended by Antonakakis and Gabauer (2017). This model addresses the biases in coefficient estimates, considering innovations from sources of time variation. Findings The findings reveal that the volatility transmission of Bitcoin return is not an important source of shocks of market returns in Brazil, Russia, India, China and South Africa (BRICS), suggesting that Bitcoin return contributes less volatility to equity market information. The results further show that Bitcoin is the main receiver of volatility while market price risk is the dominant transmission catalysts for innovations in the rest of the stock market returns. Originality/value By acknowledging the wide range of econometric models, the paper uses TVP-VAR model because this methodology is a useful and relevant tool in modeling the volatility connectedness of financial variables, thus providing meaningful information to policy makers and international investors.
引用
收藏
页码:357 / 371
页数:15
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