Dynamic linkages among bitcoin, equity, gold and oil: An implied volatility perspective

Sangita Choudhary, Anshul Jain and Pratap Chandra Biswal

Finance Research Letters, 2024, vol. 62, issue PB

Abstract: Bitcoin Implied Volatility, derived from the recently launched options on Bitcoin, provides a new forward-looking measure of uncertainty in financial markets. This paper explores its long-run and short-run relationships with the implied volatilities of equity, gold, and oil. The NARDL model reveals a long-run relationship among Bitcoin volatility and others. Kyrtsou-Labys Nonlinear Causality tests established pair-wise causality between the implied volatilities under study. Our findings highlight the integration of Bitcoin markets with global financial markets, indicating the coming of age of the Bitcoin market.

Keywords: Bitcoin implied volatility; VIX; Nardl; Cointegration; Non-linear Causality (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002502

DOI: 10.1016/j.frl.2024.105220

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