Time–frequency quantile dependence between Bitcoin and global equity markets

Aktham Maghyereh and Hussein Abdoh

The North American Journal of Economics and Finance, 2021, vol. 56, issue C

Abstract: In this paper, we examine return dependence between Bitcoin and stock market returns using a novel quantile cross-spectral dependence approach. The results suggest a right-tail (high return) dependence between Bitcoin and the stock markets in the long term and that said dependence decreases significantly from yearly to monthly investment horizons. Furthermore, right-tail dependence between Bitcoin and the US stock market is the strongest compared with other stock markets. We also extract information on the time-varying and time–frequency structure of co-movements between Bitcoin and the stock markets using wavelet-coherence analysis, the results of which suggest that the co-movement between Bitcoin and the US stock market is positive, whereas, for other stock markets, it is negative at certain frequencies and time periods. Overall, the findings highlight additional risk-management capabilities of Bitcoin according to different stock markets.

Keywords: Bitcoin; Quantile cross-spectral dependence; Causality-in-quantiles; Wavelet coherence; Stock markets; Diversification (search for similar items in EconPapers)
JEL-codes: D53 F3 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302369

DOI: 10.1016/j.najef.2020.101355

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