Quantile spillovers and dependence between Bitcoin, equities and strategic commodities

Urom, Christian; Abid, Ilyes; Guesmi, Khaled; Chevallier, Julien

doi:10.1016/j.econmod.2020.07.012

Cited by 74 publications

(26 citation statements)

References 51 publications

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“…This allows investors to achieve the benefits of diversification through computing optimal weights of each asset which lead to lowering portfolio risk without decreasing the expected returns. Urom et al (2020) point out that international investors should consider Bitcoin as part of their portfolio diversification. Bouri el al.…”

Section: Discussionmentioning

confidence: 99%

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

2021

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This paper applies the DCC-FIGARCH model to investigate the role of Bitcoin as a hedge and safe haven for Islamic stock markets in comparison with gold. We use daily data for the period January 2010–May 2020, which covers the recent COVID-19 pandemic. Empirical results show that the dynamic correlation between Bitcoin and Islamic stock markets is low and usually negative during major economic and political events suggesting that Bitcoin qualifies as a safe haven against Islamic stock markets downturns. Extending our analysis to portfolio management, findings reveal that the diversification benefits of Bitcoin are most times stable and increase significantly during turbulent periods. Thereby, adding Bitcoin in a portfolio of Islamic stocks reduce the risk of portfolio. Finally, as regards the COVID-19 outbreak period, we find that the hedging strategy involving Bitcoin leads to a higher cost during the crisis. These results provide substantial recommendations for Islamic investors and portfolio managers.

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Section: Discussionmentioning

confidence: 99%

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

2021

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“…Therefore, we introduce the TVP-VAR model (Primiceri, 2005 ) to solve the time-varying relationship. Professionals in the economic field have widely used the TVP-VAR model (Adekoya & Oliyide, 2021 ; Baumeister & Peersman, 2013 ; He, 2020 ; Nakajima, 2011 ; Urom et al, 2020 ; Zhou et al, 2020 ). Baumeister and Peersman ( 2013 ) study the impact of oil supply on the American economy through TVP-VAR.…”

Section: Literature Reviewmentioning

confidence: 99%

“…He ( 2020 ) employs the TVP-VAR model to analyze the time-varying relationship between oil price fluctuations and investor sentiment. In addition, the TVP-VAR model is also used to study the dynamic dependence of the Bitcoin market, securities market, gold market, and crude oil market (Urom et al, 2020 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets. By building a time-varying parameter vector autoregression model (TVP-VAR), the comparison analyses of pre- and during the COVID-19 sample groups verify the existence of nonlinear and dynamic correlation among the three variables. First, prior to the COVID-19 pandemic, the simultaneous impacts of clean energy on stock price increased over time. Second, the results of impulse responses at different horizons indicate that green bonds lead to a short-term increase of clean energy, and it exerts an increasingly positive impacts after the COVID-19 outbreak. The COVID-19 has weakened the negative impacts of green bonds on stock price in the medium term. Finally, through the analysis of impulse responses at different points, we find that stock prices will rise when clean energy is subjected to a positive shock, and this positive effect is stronger during economic recovery period than in the other two periods.

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“…Mostly, the flourishing interest of academia in this relatively new asset class was driven by its unique nature (see [ 2 , 3 ] for a comprehensive review). To all appearances, among the empirically documented inherent features of these synthetic currencies, it seems that so far several are indisputable, to wit, high volatility [ 4 – 6 ], clustering and long memory of volatility [ 7 – 10 ], the presence of jumps [ 11 – 13 ], high correlation within the crypto market [ 14 – 16 ] but relative isolation from other asset classes in normal times [ 17 – 19 ] and increased contagion in severe turbulent times [ 20 – 22 ], etc. The most disputable characteristics of this atypical asset refer to the investment or currency potential and its ability to act or not as a safe haven.…”

Section: Introductionmentioning

confidence: 99%

An analysis of investors’ behavior in Bitcoin market

2022

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As an emerging digital asset, Bitcoin has been traded for more than a decade, reaching an impressively high market capitalization and continuing to expand its volume of trading at a rapid pace. Many countries have legalized or are considering legalizing a trading platform for this asset, and a set of companies worldwide accept it as a medium of exchange. As a result of this expansion, many studies in finance literature have focused on studying the efficiency of this cryptocurrency. In line with this literature, this paper investigates, using the abnormal returns and abnormal trading volumes methodologies, the dynamics of investors’ reaction to the arrival of unexpected favorable and unfavorable information regarding the Bitcoin market in the context of the three famous hypotheses: the overreaction, the uncertain information, and the efficient market hypotheses. Overall, we find evidence confirming that the Bitcoin market tends to mature over time. More precisely, over the entire analyzed period, investors behave in accordance with the predictions of the uncertain information hypothesis when positive and negative events occur. However, splitting the timespan into sub-periods provides interesting insights. Remarkably in this respect is the fact that starting with the second sub-period, the response of investors in the Bitcoin market supports, in a moderate manner, the postulate of the efficient market hypothesis when favorable events are addressed. Moreover, our findings reveal that during the pandemic period, the efficiency of Bitcoin has increased, thus turning this stressful period into an advantage for this cryptocurrency. This improved market efficiency is also supported by the abnormal trading volume analysis.

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Quantile spillovers and dependence between Bitcoin, equities and strategic commodities

Cited by 74 publications

References 51 publications

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

An analysis of investors’ behavior in Bitcoin market

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