From financial markets to Bitcoin markets: A fresh look at the contagion effect

Roman Matkovskyy and Akanksha Jalan

Finance Research Letters, 2019, vol. 31, issue C, 93-97

Abstract: This article studies contagion effects between traditional financial markets, represented by five equity indices and the EUR, USD, GBP, and JPY centralized Bitcoin markets. We apply a regime switching skew-normal model of asset returns that distinguishes between linear and non-linear contagion and also structural breaks in the periods. We find significant contagion effects from financial to Bitcoin markets in terms of both correlation and co-skewness of market returns. Our results also indicate that during crisis periods, risk-averse investors tend to move away from risky Bitcoin markets towards safer financial markets.

Keywords: Financial markets; Bitcoin; Contagion; Regime switching skew-normal model (RSSN) (search for similar items in EconPapers)
JEL-codes: C11 C34 E31 E44 G12 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:93-97

DOI: 10.1016/j.frl.2019.04.007

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