High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets

被引：84

作者：

Mensi, Walid ^{[1
,2
]}

Sensoy, Ahmet ^{[3
]}

Aslan, Aylin ^{[3
,4
]}

Kang, Sang Hoon ^{[5
,6
]}

机构：

[1] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

[2] Sultan Qaboos Univ, Dept Econ & Finance, Coll Econ & Polit Sci, Muscat, Oman

[3] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkey

[4] Cent Bank Republ Turkey, Stat Dept, TR-06050 Ankara, Turkey

[5] Pusan Natl Univ, Dept Business Adm, Busan 609735, South Korea

[6] Univ South Australia, Sch Commerce, Adelaide, SA, Australia

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2019年 / 50卷

基金：

新加坡国家研究基金会;

关键词：

Bitcoin; Precious metals; High frequency; Asymmetric volatility connectedness; SAFE-HAVEN; GOLD PRICES; OIL; CRYPTOCURRENCIES; SPILLOVERS; HEDGE; STOCK; ECONOMICS; EXCHANGE; DIVERSIFICATION;

D O I：

10.1016/j.najef.2019.101031

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and Yilmaz (2014) and Barunik, Kaccenda, and Vacha (2017). The results show evidence of significant volatility spillover effects between Bitcoin and precious metals. Moreover, the risk spillovers vary over time and are sensitive to slowdowns in economic activity and political events (e.g., the Brexit vote and the US presidential election). Palladium is the largest net contributor of spillovers while Bitcoin is a net recipient. Finally, evidence of asymmetry in semi-volatility transmission shows that Bitcoin heavily transmits netpositive spillovers to other assets. The results of our research are of interest and importance to investors, portfolio managers, and policy-makers, as the results can readily inform their decision-making.

引用

页数：16