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Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach

Yue-Jun Zhang, Elie Bouri, Rangan Gupta () and Shu-Jiao Ma

The North American Journal of Economics and Finance, 2021, vol. 55, issue C

Abstract: In order to challenge the existing literature that points to the detachment of Bitcoin from the global financial system, we use daily data from August 17, 2011–February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence to imply the existence of downside risk spillover between Bitcoin and four assets (equities, bonds, currencies, and commodities), which seems to be time dependent. Our main findings have implications for participants in both the Bitcoin and traditional financial markets for the sake of asset allocation, and risk management. For policy makers, the findings suggest that Bitcoin should be monitored carefully for the sake of financial stability.

Keywords: Bitcoin; Financial markets; Asset classes; Downside risk spillover; Expectile VaR; CAR-ARCHE (search for similar items in EconPapers)
Date: 2021
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Working Paper: Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301868

DOI: 10.1016/j.najef.2020.101296

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