 The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock marketsWalter Bazán-Palomino Economic Analysis and Policy, 2023, vol. 80, issue C, 1080-1095 Abstract: Recently retail and institutional investors have begun to include Bitcoin in their portfolios, creating a transmission channel for Bitcoin volatility and therefore increasing regulatory concerns. Using intraday data from 2013 to 2022, I propose a dynamic econometric model to examine the extent to which Bitcoin volatility is transmitted to stock markets in North America, Europe, and Asia-Pacific at different frequencies: contemporaneous and long-run. My findings challenge previous literature which has found Bitcoin volatility risk minimal and not long-lasting. I provide evidence that, since March 2020, there was a substantial increase in contemporaneous volatility transmission in all regions. However, the long-term effect of Bitcoin on North American and three European markets diminished, while it remained significant in most Asia-Pacific markets. Hence, policymakers should coordinate actions at the regional level to mitigate financial stability risks. Likewise, Bitcoin volatility is relevant for investors when deciding on the sizes and timing of their investments. Keywords: Bitcoin volatility; Volatility transmission; Contemporaneous contagion; Long-term contagion; Stock markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1080-1095 DOI: 10.1016/j.eap.2023.10.001 Access Statistics for this article Economic Analysis and Policy is currently edited by Clevo Wilson More articles in Economic Analysis and Policy from Elsevier |
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