Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles

被引：144

作者：

Bouri, Elie ^{[1
]}

Gupta, Rangan ^{[2
]}

Lau, Chi Keung Marco ^{[3
]}

Roubaud, David ^{[4
]}

Wang, Shixuan ^{[5
]}

机构：

[1] Holy Spirit Univ Kaslik, USEK Business Sch, POB 446, Jounieh, Lebanon

[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[3] Univ Huddersfield, Huddersfield Business Sch, Dept Accountancy Finance & Econ, Huddersfield HD1 3DH, W Yorkshire, England

[4] Montpellier Business Sch, ESD, Montpellier, France

[5] Cardiff Univ, Cardiff Business Sch, Cardiff CF10 3EU, S Glam, Wales

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2018年 / 69卷

关键词：

Bitcoin; Global financial stress index; Dependence; Copula Quantiles; DIRECTIONAL PREDICTABILITY; VOLATILITY; MARKETS; MODELS; HEDGE;

D O I：

10.1016/j.qref.2018.04.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：297 / 307

页数：11

共 50 条

[1] Granger-causality in quantiles between financial markets: Using copula approach
Lee, Tae-Hwy
Yang, Weiping
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2014, 33 : 70 - 78
[2] The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test
Dastgir, Shabbir
Demir, Ender
Downing, Gareth
Gozgor, Giray
Lau, Chi Keung Marco
FINANCE RESEARCH LETTERS, 2019, 28 : 160 - 164
[3] Spatial contagion between financial markets: a copula-based approach
Durante, Fabrizio
Jaworski, Piotr
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2010, 26 (05) : 551 - 564
[4] A copula-based approach for generating lattices
Wang, Tianyang
Dyer, James S.
Hahn, Warren J.
REVIEW OF DERIVATIVES RESEARCH, 2015, 18 (03) : 263 - 289
[5] Risk implications of dependence in the commodities: A copula-based analysis
Jain, Prachi
Maitra, Debasish
GLOBAL FINANCE JOURNAL, 2023, 57
[6] Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
Bouezmarni, Taoufik
Rombouts, Jeroen V. K.
Taamouti, Abderrahim
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2012, 30 (02) : 275 - 287
[7] Systemic risk in the Chinese financial system: A copula-based network approach
Zhang, Zhiwei
Zhang, Dayong
Wu, Fei
Ji, Qiang
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 26 (02) : 2044 - 2063
[8] Intraday VaR: A copula-based approach
Wang, Keli
Liu, Xiaoquan
Ye, Wuyi
JOURNAL OF EMPIRICAL FINANCE, 2023, 74
[9] A Copula-Based Stochastic Frontier Model for Financial Pricing
Tibprasorn, Phachongchit
Autchariyapanitkul, Kittawit
Chaniam, Somsak
Sriboonchitta, Songsak
INTEGRATED UNCERTAINTY IN KNOWLEDGE MODELLING AND DECISION MAKING, IUKM 2015, 2015, 9376 : 151 - 162
[10] Measuring Dependence in Financial Crisis A Copula Approach for Mexico and Brazil
Lorenzo Valdes, Arturo
Massa Roldan, Ricardo
ECONOMIA MEXICANA-NUEVA EPOCA, 2013, 22 (02): : 341 - 355

← 1 2 3 4 5 →