Bitcoin and integration patterns in the forex market

Nader Virk

Finance Research Letters, 2022, vol. 44, issue C

Abstract: This study investigates the dependence structure between bitcoin (BTC) and five leading – leaving the US dollar out – conventional currencies by using Engle's (2002) DCC model. Results show a detachment between changes in BTC returns and fiat currencies. The weak association between conditional BTC volatility and its dynamic pairwise correlations with fiat currencies further endorses this finding. Implying that BTC investing does not offer currency hedging gains in consideration to its lack of return dependence, and association of its conditional volatility, with the integration patterns seen among fist currencies.

Keywords: Bitcoin; conventional currencies; DCC model; integration patterns; hedging; conditional volatility. JEL classification: C32; C5; E44; G11; G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001732

DOI: 10.1016/j.frl.2021.102092

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