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High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets

Walid Mensi, Ahmet Sensoy, Aylin Aslan and Sang Hoon Kang

The North American Journal of Economics and Finance, 2019, vol. 50, issue C

Abstract: 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)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301093

DOI: 10.1016/j.najef.2019.101031

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