High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets
Aylin Aslan and
Sang Hoon Kang
The North American Journal of Economics and Finance, 2019, vol. 50, issue C
This study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and Yilmaz (2014) and Baruník, Kočcenda, and Vácha (2017). The results show evidence of significant volatility spillover effects between Bitcoin and precious metals. Moreover, the risk spillovers vary over time and are sensitive to slowdowns in economic activity and political events (e.g., the Brexit vote and the US presidential election). Palladium is the largest net contributor of spillovers while Bitcoin is a net recipient. Finally, evidence of asymmetry in semi-volatility transmission shows that Bitcoin heavily transmits net-positive spillovers to other assets. The results of our research are of interest and importance to investors, portfolio managers, and policy-makers, as the results can readily inform their decision-making.
Keywords: Bitcoin; Precious metals; High frequency; Asymmetric volatility connectedness (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301093
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().