ArticleEmpirical economics2022
COVID-19 and the volatility interlinkage between bitcoin and financial assets.
Article in Empirical economics, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 7 papers.
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Who cites it
7 citing papers in PubMed, 39 citations in OpenAlex.
- Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.Finance research letters · 2023Article
- The predictive power of Bitcoin prices for the realized volatility of US stock sector returns.Financial innovation · 2023Article
- High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods.SN business & economics · 2023Article
- Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets.Financial innovation · 2023Article
- Diversification evidence of bitcoin and gold from wavelet analysis.Financial innovation · 2023Article
- COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover.Finance research letters · 2022Article
- Time-frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic.Financial innovation · 2022Article
Corrections and comments
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Authors and funding
2 authors at 2 institutions in 2 countries.
Funding
No grant is acknowledged in the PubMed record.
Abstract
We investigate the effects of COVID-19 on volatility connectedness between bitcoin and five traditional financial assets from the gold, oil, foreign exchange, stock, and bond markets, employing high-frequency data. The empirical analyses are carried out using the wavelet coherence approach and dynamic frequency-domain connectedness method. Our results generally indicate that the volatility dynamics between bitcoin and the financial assets are weak or negative before the pandemic while they become positive during the pandemic times for most of the assets. Further, the volatility connectedness for bitcoin-gold and bitcoin-foreign exchange pairs is most significant in the short term, while it is significant in the intermediate term for bitcoin-oil and bitcoin-equity pairs during the pandemic. We examine optimal portfolios to hedge Bitcoin shocks at multiple investment horizons during the pandemic. We find that most of these financial assets perform as a good hedger against Bitcoin shocks in the short and long term but not in the medium term.
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