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- Title
INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS.
- Authors
QARNI, Muhammad Owais; GULZAR, Saqib; FATIMA, Syeda Tamkeen; KHAN, Majid Jamal; SHAFI, Khurram
- Abstract
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequency connectedness methodologies are applied to investigate the time varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility spillover is also detected. The connectedness among the U.S. Bitcoin and financial markets is found to be concentrated at high frequency, suggesting that markets process information rapidly. Moreover, the turbulence in Bitcoin market will have insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and diversification benefits for domestic and foreign investors in the U.S.
- Subjects
UNITED States; MARKET prices; BITCOIN; FOREIGN exchange market; PREDICTION markets
- Publication
Journal of Business Economics & Management, 2019, Vol 20, Issue 4, p694
- ISSN
1611-1699
- Publication type
Article
- DOI
10.3846/jbem.2019.8316