Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model

Inés Jiménez, Andrés Mora-Valencia and Javier Perote

Emerging Markets Review, 2023, vol. 56, issue C

Abstract: As crypto markets become more integrated, measuring their spillovers with financial markets becomes fundamental for portfolio choice and risk management. We investigate high-order moment transmission between emerging/developed and digital asset markets through a flexible semi-nonparametric approach that accounts for dynamic conditional correlation and spillover effects, not only in conditional volatility but also in conditional skewness and kurtosis. The results show a (positive) transmission of volatility from emerging and developed markets to digital asset markets, as a signal of market integration, but also some positive/negative skewness and kurtosis spillovers (remarkably from Crypto and Blockchain indices to Emerging Asia and Latin America indices) detected at daily and weekly basis.

Keywords: Emerging markets; Digital markets; High-order moment spillover; SNP-DCC model (search for similar items in EconPapers)
JEL-codes: C14 C58 F62 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596

DOI: 10.1016/j.ememar.2023.101054

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