Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets

Shangrong Jiang, Yuze Li, Quanying Lu, Shouyang Wang and Yunjie Wei

Research in International Business and Finance, 2022, vol. 59, issue C

Abstract: This paper proposes an integrated TVP-VAR model to investigate the volatility spillover mechanisms among different financial markets as well as their respective roles in the global volatility transmission system, including Bitcoin, crude oil, gold, stocks, foreign exchange and natural gas market. Utilizing the time-varying volatility spillover indices, we find that the Bitcoin, gold, foreign exchange and natural gas serve as volatility communicators. On the contrary, the crude oil and stock market act as volatility receivers. In addition, roles of each major commodity in the volatility spillover system are found to be significantly correlated with their respective financial properties. Specifically, Bitcoin is found to be a hedge rather than a safe haven in the financial system. Moreover, we discover that the overall volatility spillovers across the financial market system are more likely to be caused by shifts in external market attention among the different markets.

Keywords: Volatility spillover; Financial property; TVP-VAR model; Variational mode decomposition; Hypotheses testing (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001641

DOI: 10.1016/j.ribaf.2021.101543

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