The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin

Hao Dong, Liming Chen, Xinyi Zhang, Pierre Failler and Sa Xu

Emerging Markets Finance and Trade, 2020, vol. 56, issue 6, 1293-1311

Abstract: In this paper, we measure the asymmetric volatility spillover among six virtual financial asset (VFA) markets from January 1, 2014, to September 30, 2017, using the volatility spillover index based on a Markov regime-switching vector autoregressive (VAR) model and conduct a static and dynamic analysis under different regimes. The static results show that asymmetric effects of total, internal and net volatility spillover, on average, exist in all six VFA markets under different regimes. The dynamic results show that total, directional, and net spillover have significantly asymmetric effects. Thus, the government should monitor the specific VFA regimes and improve market regulation.

Date: 2020
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DOI: 10.1080/1540496X.2019.1671819

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