Safe-haven or speculation? Research on price and risk dynamics of Bitcoin

Liu, Xin; Li, Bowen

doi:10.1080/13504851.2022.2131711

Cited by 2 publications

(2 citation statements)

References 21 publications

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“…For example, the long-term relationships between Bitcoin and crude oil and between Bitcoin and the US dollar were refuted, respectively, by Ciaian et al (2016) and Ünvana (Ünvan 2021). The relationship between Bitcoin and global financial assets is not long-lasting but close, including, for example, time-varying correlation (Liu and Li 2022), nonlinear correlation (Wei et al 2023), and the spillover effect (Liu and Li 2022).…”

Section: Results Of Unit Root Testsmentioning

confidence: 99%

Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Liu,

Naktnasukanjn,

Tamprasirt

et al. 2023

JRFM

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This paper aims to reveal the asymmetric co-integration relationship and asymmetric causality between Bitcoin and global financial assets, namely gold, crude oil and the US dollar, and make a comparison for their asymmetric relationship before and after the COVID-19 outbreak. Empirical results show that there is no linear co-integration relationship between Bitcoin and global financial assets, but there are nonlinear co-integration relationships. There is an asymmetric co-integration relationship between the rise in Bitcoin prices and the decline in the US Dollar Index (USDX), and there is a nonlinear co-integration relationship between the decline of Bitcoin and the rise and decline in the prices of the three financial assets. To be specific, there is a Granger causality between Bitcoin and crude oil, but not between Bitcoin and gold/US dollar. Before the outbreak of the COVID-19 pandemic, there was an Asymmetric Granger causality between the decline in gold prices and the rise in Bitcoin prices. After the outbreak of the pandemic, there is an asymmetric Granger causality between the decline in crude oil prices and the decline in Bitcoin prices. The COVID-19 epidemic has led to changes in the causality between Bitcoin and global financial assets. However, there is not a linear Granger causality between the US dollar and Bitcoin. Last, the practical implications of the findings are discussed here.

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Section: Results Of Unit Root Testsmentioning

confidence: 99%

Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Liu,

Naktnasukanjn,

Tamprasirt

et al. 2023

JRFM

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show abstract

“…Tran and Nguyen [29] showed that the stock market in Europe had a negative impact on the U.S. dollar in 2021. Liu and Li [38] showed that there exists volatility spillover effect and dynamic correlation between the U.S. dollar and bitcoin, which is magnified with the advent of COVID-19. In general, Black Swan events have an impact on stock markets and the U.S. dollar index.…”

Section: The Us Dollar and Other Financial Assetsmentioning

confidence: 99%

Dynamic Correlation between the Chinese and the US Financial Markets: From Global Financial Crisis to COVID-19 Pandemic

Liu

Wan

et al. 2022

Axioms

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As China’s economy and the U.S. economy have shown a definite interaction, there is considerable interest in studying the correlation between the Chinese stock market and the US financial markets. This paper uses an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH to investigate the correlation between the Shanghai Composite Index (SHCI) and the U.S. financial markets, including SP500, NASDAQ, and US dollar indexes. The empirical results show that the time-varying daily and the lag-one correlation between China and the US stock markets have different performances during global events and national events. Compared with the complicated effect of negative events on the correlation of the stock market, SHCI and USD are negatively correlated with higher negative correlation during the global negative events. In addition, we found Chinese investors are more contagious to the news than American investors, indicating that the Chinese government’s policy are more indicated to Chinese investors. Finally, some policy suggestions are provided, and are beneficial to risk prevention and control, and investment.

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Safe-haven or speculation? Research on price and risk dynamics of Bitcoin

Cited by 2 publications

References 21 publications

Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Dynamic Correlation between the Chinese and the US Financial Markets: From Global Financial Crisis to COVID-19 Pandemic

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