Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach

Yue-Jun Zhang (), Elie Bouri (), Shu-Jiao Ma and Rangan Gupta
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Shu-Jiao Ma: Business School, Hunan University, Changsha 410082, China; Center for Resource and Environmental Management, Hunan University, Changsha 410082, China

No 202027, Working Papers from University of Pretoria, Department of Economics

Abstract: We challenge the existing literature that points to the detachment of Bitcoin from the global financial system. We use daily data from August 17, 2011 - February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence to imply the existence of downside risk spillover between Bitcoin and four assets (equities, bonds, currencies, and commodities), which seems to be time dependent. Our main findings have implications for participants in both the Bitcoin and the traditional financial markets for the sake of asset allocation, and risk management. For policy makers, our findings suggest that Bitcoin should be monitored carefully for the sake of financial stability.

Keywords: Bitcoin; financial markets; asset classes; downside risk spillover; expectile VaR; CAR-ARCHE (search for similar items in EconPapers)
Pages: 20 pages
Date: 2020-03
New Economics Papers: this item is included in nep-fmk, nep-pay and nep-rmg
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Citations: View citations in EconPapers (6)

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Journal Article: Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202027

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