Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?

Trabelsi, Nader

doi:10.3390/jrfm11040066

Cited by 78 publications

(39 citation statements)

References 33 publications

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“…We can conclude from our result that the interconnectedness between pairs of cryptocurrencies and stock markets is mostly positive suggesting the stock markets as the major spillover effect transmitters to cryptocurrency markets which contradicts the findings of Ji, Bouri, Lau, and Roubaud (2019) and Trabelsi (2018) which shows cryptocurrencies including Bitcoin and Litecoin as the largest net transmitters of spillovers effects. However, the interconnectedness between pairs of cryptocurrencies and commodities is mostly negative indicating the cryptocurrencies as the major spillover effect transmitters to gold and crude oil markets providing evidence in support of the works of Ji, Bouri, Lau, and Roubaud (2019) and Trabelsi (2018). Nevertheless, the spillover effects across markets are weak across frequencies.…”

Section: Pairwise Spillover Frequency Connectednesscontrasting

confidence: 95%

African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

Kumah

Abbam

Armah³

et al. 2021

jrems

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The COVID-19 pandemic provides the first widespread bear market conditions since the inception of cryptocurrencies. We test the haven properties of cryptocurrencies for African stocks and commodity markets in a pandemic implementing the frequency domain spillover index. Data spans 11th August 2015 to 28th August 2020 at a daily frequency. Findings show weak interconnectedness across markets suggesting non-contagion risk and that cryptocurrency are safe havens for African stocks and commodity indices from the medium-term. We find the major transmitters of spillover effects across markets to be time-varying and heterogeneous. This study provides significant risk diversification benefits for policymakers and investors in the African financial markets.

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Section: Pairwise Spillover Frequency Connectednesscontrasting

confidence: 95%

African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

Kumah

Abbam

Armah³

et al. 2021

jrems

View full text Add to dashboard Cite

show abstract

“…Their findings show that the inclusion of bitcoin among hedging strategies that comprise gold, oil and emerging stocks reduce portfolio risks considerably compared to the one without them. In contrast, Trabelsi (2018) adopts the generalized forecast error variance decomposition methodology of Diebold and Yilmaz (2012) and Barunik and Krehlik, 2018 to analyze the volatility spillover among cryptocurrencies and widely traded assets. The study finds no significant evidence for spillover between cryptocurrencies and other assets classes.…”

Section: Literature Reviewmentioning

confidence: 99%

How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques

2021

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With many commodity and financial markets reportedly experiencing poor performances during this COVID-19 pandemic, this study intends to examine the effect of the pandemic on the connectedness among the markets. There are several reasons that suggest that apart from the pandemic affecting the performances of the markets, it can also be a driver of their connectedness, coming from the perspective of the global financial cycle channel. Therefore, we first employ the recently developed time-varying parameter vector autoregressions (TVP-VAR) technique to examine the volatility spillover among the commodity and financial assets. We find evidence of strong volatility across the markets, with gold and USD being net receivers of shocks, and others, net transmitters. With this evidence, we proceed to the evaluation of the influence of the COVID-19 pandemic on the connectedness across the markets using both the linear and non-linear (causality-in-quantiles) causality tests. The causality-in-quantiles test outperforms the linear Granger-causality test, and the results show significant causal impacts of the two measures of COVID-19 pandemic (infectious diseases-based equity market volatility and the growth rate of the U.S. COVID-19 reported cases) on the connectedness across the markets, especially at the lower and middle-level quantiles. Overall, these findings prove that the pandemic has been largely responsible for risks transmission across various commodity and financial markets. This is because it has significantly raised investors’ and policy uncertainties and immensely altered global financial cycle which in turn results in global flows of capital, and movements in the prices of assets across different financial markets.

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“…Using the same method, Mensi et al [28] [29] consider the spillover effects among West Texas Intermediate (WTI) crude oil, precious metals (gold and silver), and agricultural staples (rice, wheat, and corn). Trabels [30] uses the Diebold-Yilmaz approach and Barunik and Krehlik methodology to study the connectedness among cryptocurrency markets, the Bitcoin index, traditional currencies, stock markets, gold, and crude oil. Liu et al [31] examine the spillovers of return and volatility from fossil fuel energies (crude oil, coal, natural gas) to electricity spot and three electricity futures in Europe using the same time-frequency domain frameworks.…”

Section: Literature Reviewmentioning

confidence: 99%

Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

Liu

Hamori

2020

Energies

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This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US and Europe under the time-frequency domain frameworks. The total spillovers of return and volatility from all variables to renewable stock markets in the US are higher than those in Europe. Stock markets transmit the highest return spillovers to renewable energy stocks, which far exceed the spillovers from fossil energy to renewable energy stocks in both regions. In addition, both return and volatility spillovers could be enhanced, possibly due to specific events or sudden changes in prices. In particular, extreme events such as the Brexit referendum in 2016 influenced mostly the volatility spillovers across European markets. Moreover, the spillovers of return and volatility are contingent on frequency, and most return spillovers are concentrated at the high frequency, whereas most volatility spillovers are concentrated at the low frequency. These results remind investors that it is necessary to consider the investment horizon when making their financial decisions on renewable energy investment.

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Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?

Cited by 78 publications

References 33 publications

African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques

Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

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