Return, Volatility and Shock Spillovers of Bitcoin with Energy Commodities

Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa and Ahmed K. Elnagar

International Journal of Finance, Insurance and Risk Management, 2020, vol. 10, issue 3, 157-170

Abstract: Purpose: The purpose of this paper is to examine empirically the spillover impacts between Bitcoin and the major energy commodities. Design/methodology/approach: To do so, we employ an asymmetric multivariate VAR-BEKK-AGARCH model to study spillover effects between Bitcoin and three energy commodities during the period from July 18, 2010 to June 30, 2018. Findings: The empirical findings show return spillovers from energy stock indices to Bitcoin. We find unilateral return and volatility spillovers and bidirectional shock influences and demonstrate portfolio management implications of dynamic conditional correlation. The little correlation of Bitcoin with the stock indices offers portfolio benefits. Our findings imply the importance of Bitcoin in portfolio construction and reflects the importance of diversification of portfolio between energy commodities and the crypto-currencies, mainly Bitcoin. Practical Implications: Bitcoin has qualified a fast development while across a time and several shareholders and investors are demonstrating importance in its possibility as a consolidative component of portfolio variation. Originality/value: The significant extension is the using of a recently established multivariate econometric method, VAR-BEKK-AGARCH, which is utilized to study the degree of incorporation in rapports of instability and return among Bitcoin and energy commodities.

Keywords: Bitcoin; energy commodities; spillovers; multivariate GARCH; volatility. (search for similar items in EconPapers)
JEL-codes: E52 E63 Q02 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:ers:ijfirm:v:10:y:2020:i:3:p:157-170

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