Weekly dynamic conditional correlations among cryptocurrencies and traditional assets

Nektarios Aslanidis, Aurelio Fernandez Bariviera and Christos Savva ()

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present in Bitcoin. Mondays are associated with higher Bitcoin returns, while Wednesdays with higher Bitcoin volatility. As opposed to previous literature, our results indicate strong evidence of Bitcoin’s leverage effect. Moreover, we show that daily correlations between Bitcoin and traditional assets are higher at the beginning of the week, while the volatility of these correlations decreases over the week. Our results offer interesting insights in terms of investment and portfolio diversification, that can be applied to the analysis of systematic risk asset allocation and hedging. Keywords: Day-of-the-week effect; dynamic conditional correlation; Bitcoin; volatility seasonality. JEL codes: G01; G10; G12; G22

Keywords: Bitcoin; Mercats financers; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ban, nep-pay and nep-rmg
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/417680

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