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Inter-markets volatility spillover in U.S. bitcoin and financial markets

    Muhammad Owais Qarni Affiliation
    ; Saqib Gulzar Affiliation
    ; Syeda Tamkeen Fatima Affiliation
    ; Majid Jamal Khan Affiliation
    ; Khurram Shafi Affiliation

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.

Keyword : bitcoin, stock market, volatility spillover, spillover asymmetry measure, frequency connectedness, foreign exchange market

How to Cite
Qarni, M. O., Gulzar, S., Fatima, S. T., Khan, M. J., & Shafi, K. (2019). Inter-markets volatility spillover in U.S. bitcoin and financial markets. Journal of Business Economics and Management, 20(4), 694-714. https://doi.org/10.3846/jbem.2019.8316
Published in Issue
May 29, 2019
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This work is licensed under a Creative Commons Attribution 4.0 International License.

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