Persistence and volatility spillovers of bitcoin price to gold and silver prices

Yaya, OlaOluwa S.; Lukman, Adewale F.; Vo, Xuan Vinh

doi:10.1016/j.resourpol.2022.103011

Cited by 12 publications

(2 citation statements)

References 54 publications

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“…(4) At stage two, we formulate an econometric model, to capture the sign and the magnitude of the impact of the war in Ukraine on both price and volume of bitcoin. Specifically, we construct a dummy variable that takes the value of zero during 20 January until 23 February of 2022, and the value of 1 during 24 February until 01 April of 2022 and we also control for the effects of S&P500, crude oil, and gold future prices Li et al, 2022;Yaya et al, 2022).…”

Section: Methodsmentioning

confidence: 99%

The Russian War in Ukraine and its Effect in the Bitcoin Market

Daskalakis¹,

Daglis²

2023

IJEBA

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Purpose:In this paper, we analyze the impact of the war in Ukraine on the price and volume volatility of bitcoin. Design/methodology/approach: We apply a two-stage methodology, to explore whether bitcoin price and volume were affected by the Ukraine war event, and to analyze the magnitude of this effect. Findings: Our results show that the Ukraine war affected more bitcoin volume, than bitcoin price. Practical implications: We explore whether the effect of a major political event, such as the war in Ukraine, is differentiated between bitcoin price and volume respectively, and we show that volume is affected much more than price. This has important practical implications for traders and investors in the crypto-market, since bitcoin is gradually perceived as an asset that can bear portfolio diversifying features. Originality value: Our results are surprizing since prior event literature shows that bitcoin price is heavily affected by major political and economic events, but is in line with the only to-date study of Bitcoin price and Ukraine war (Yatie, 2022).

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Section: Methodsmentioning

confidence: 99%

The Russian War in Ukraine and its Effect in the Bitcoin Market

Daskalakis¹,

Daglis²

2023

IJEBA

View full text Add to dashboard Cite

show abstract

“…The increase in auto-industrial use of precious metals has also created substantial substitution options between platinum and palladium which have led to close par in prices of these two metals. Gold and silver are generally demanded for jewelry, and are traded as investment assets while silver has little industrial use and is more commoditydriven than gold (Yaya, Vo, and Olayinka, 2021;Yaya, Lukman, and Vo, 2022a).…”

Section: Introductionmentioning

confidence: 99%