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

Roman Matkovskyy and Akanksha Jalan
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Akanksha Jalan: ESC [Rennes] - ESC Rennes School of Business

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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)
Date: 2019-12
Note: View the original document on HAL open archive server: https://rennes-sb.hal.science/hal-02131637
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Citations: View citations in EconPapers (43)

Published in Finance Research Letters, 2019, 31, pp.93-97. ⟨10.1016/j.frl.2019.04.007⟩

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Journal Article: From financial markets to Bitcoin markets: A fresh look at the contagion effect (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02131637

DOI: 10.1016/j.frl.2019.04.007

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