COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

Michael Di and Ke Xu

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This paper examines implied volatility spillovers and connectedness between Bitcoin and a broad range of traditional financial assets (U.S. equity market, gold, crude oil, emerging markets and developing markets) from January 8, 2019 to January 20, 2022. Vector Auto-Regression and Generalized Forecast Error Variance Decomposition are used to compare results before COVID-19, during COVID-19 and after the vaccine becomes available. Results indicate higher connectedness during COVID-19 but very low connectedness after the vaccine is available, signaling recovery in financial markets. We also find that Bitcoin is a strong transmitter of volatility during COVID-19.

Keywords: COVID-19 recovery; COVID-19 vaccine; Bitcoin; Implied volatility spillover (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004731

DOI: 10.1016/j.frl.2022.103289

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