Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets

doi:10.1016/j.ribaf.2021.101543

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	Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets
	Jiang, Shangrong 1; Li, Yuze 2,3; Lu, Quanying 3; Wang, Shouyang 1,3,4; Wei, Yunjie 3,4
	2022
发表期刊	RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN	0275-5319
卷号	59 页码:14
摘要	This paper proposes an integrated TVP-VAR model to investigate the volatility spillover mechanisms among different financial markets as well as their respective roles in the global volatility transmission system, including Bitcoin, crude oil, gold, stocks, foreign exchange and natural gas market. Utilizing the time-varying volatility spillover indices, we find that the Bitcoin, gold, foreign exchange and natural gas serve as volatility communicators. On the contrary, the crude oil and stock market act as volatility receivers. In addition, roles of each major commodity in the volatility spillover system are found to be significantly correlated with their respective financial properties. Specifically, Bitcoin is found to be a hedge rather than a safe haven in the financial system. Moreover, we discover that the overall volatility spillovers across the financial market system are more likely to be caused by shifts in external market attention among the different markets.
关键词	Volatility spillover Financial property TVP-VAR model Variational mode decomposition Hypotheses testing
DOI	10.1016/j.ribaf.2021.101543
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71988101]
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:000708427100023
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59444
专题	中国科学院数学与系统科学研究院
通讯作者	Wei, Yunjie
作者单位	1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Boston Univ, Questrom Sch Business, Boston, MA 02215 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Zhongguancun East Rd 55, Beijing 100190, Peoples R China 4.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Jiang, Shangrong,Li, Yuze,Lu, Quanying,et al. Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2022,59:14.
APA	Jiang, Shangrong,Li, Yuze,Lu, Quanying,Wang, Shouyang,&Wei, Yunjie.(2022).Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets.RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,59,14.
MLA	Jiang, Shangrong,et al."Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 59(2022):14.