Asymmetric volatility spillovers between Bitcoin, oil, and global stocks in economic uncertainty

Surachai Chancharat and Parichat Sinlapates

International Journal of Monetary Economics and Finance, 2024, vol. 17, issue 2/3, 238-246

Abstract: The shifting nature of volatility spillovers among Bitcoin, WTI oil, and the MSCI global index between two financial crises, the COVID-19 outbreak, and the Russia-Ukraine war, is examined in this paper. The BEKKGARCH model is applied to daily data for Bitcoin, crude oil, and the world stock index. Our empirical results suggest that the return spillovers for the Bitcoin-WTI, Bitcoin-MSCI, and WTI-MSCI pairings change among the four different periods. However, the volatility transmissions for the Bitcoin-WTI and Bitcoin-MSCI pairings change throughout the four study periods. These findings offer policymakers and portfolio managers useful information about risk management, forecasting, hedging, and portfolio diversification.

Keywords: Bitcoin; multivariate GARCH; oil; stock market; volatility spillover. (search for similar items in EconPapers)
Date: 2024
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