Asymmetric volatility spillovers between Bitcoin, oil and precious metals

Houda Ben Mabrouk and Imen Ben Khalifa

International Journal of Economics and Business Research, 2024, vol. 28, issue 1, 44-64

Abstract: This paper examines the asymmetric spillovers between Bitcoin, oil and four precious metals (silver, gold, platinum and palladium) on daily returns from 18 August 2011 to 2 October 2019. Using a modified version of the Dieblod and Yilmaz (2012, 2014) index and a similar approach to Baruník (2017), our results indicate slight volatility spillovers between the whole systems. Moreover, the results show that gold is the most influential market since it shifts the highest proportion of volatility. Furthermore, we find that oil, Bitcoin and platinum can serve as a hedge and a diversifier as they are neutral in terms of spillovers. Moreover, we find evidence of asymmetric volatility spillovers since good spillovers dominate bad one, which proves the optimistic mood of the whole system. More interestingly, our results shed light on the ability of Bitcoin, the digital gold, to serve as a hedge and diversifier in both good and bad innovations.

Keywords: volatility spillovers; asymmetric volatility; spillovers; Bitcoin; oil; precious metals; good innovations; bad innovations. (search for similar items in EconPapers)
Date: 2024
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