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Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets

Ahmed Bouteska Orcid Logo, Taimur Sharif Orcid Logo, Abedin Abedin

The Quarterly Review of Economics and Finance, Volume: 92, Pages: 1 - 13

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1016/j.qref.2023.07.008

Abstract

On a univariate setting, this study aims to: (a) model the volatility of Bitcoin, Dash, Monero, and Stellar, (b) check the eventual existence of structural breaks in their volatility, and (c) investigate the interconnection amid the cryptocurrency volatilities, the US equity and bond markets’ volati...

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Published in: The Quarterly Review of Economics and Finance
ISSN: 1062-9769
Published: Elsevier BV 2023
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URI: https://cronfa.swan.ac.uk/Record/cronfa64239
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spelling v2 64239 2023-08-31 Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF On a univariate setting, this study aims to: (a) model the volatility of Bitcoin, Dash, Monero, and Stellar, (b) check the eventual existence of structural breaks in their volatility, and (c) investigate the interconnection amid the cryptocurrency volatilities, the US equity and bond markets’ volatility, and the COVID-19 impacts. To accomplish these objectives, we adopt a comparative approach to select the GARCH model, use Inclán and Tiao’s (1994) Iterated Cumulative Sums of Squares (ICSS) algorithm, and then estimate a Simultaneous Equation Model (SEM), respectively. We find convincing evidence of the existence of return-volatility spillovers amid Bitcoin, Dash, and Stellar, and the role of Monero as the principal transmitter of shocks. We also observe a nexus of the cryptocurrency market with the US energy market but do not see any connectivity with the US bond market. Furthermore, we suggest that the observed period of high financial uncertainty, low economic sentiment, and the pandemic-led problems in the US energy market exert significant impact on the prices of Bitcoin, Dash, and Stellar, mainly receiving short-lived shocks. The findings of this paper have implications for fund managers and policymakers to ensure a right timing of their intervention and minimize risks during uncertainties in the wake of the Black Swan events, such as the COVID-19, the Russia-Ukraine conflict, etc. Journal Article The Quarterly Review of Economics and Finance 92 1 13 Elsevier BV 1062-9769 Cryptocurrencies, Energy market, Bond market, Volatility spillovers, COVID-19 31 12 2023 2023-12-31 10.1016/j.qref.2023.07.008 http://dx.doi.org/10.1016/j.qref.2023.07.008 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-11-01T17:18:35.1892539 2023-08-31T17:40:13.3190160 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Ahmed Bouteska 0000-0002-5710-501x 1 Taimur Sharif 0000-0002-4908-0756 2 Abedin Abedin 3
title Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
spellingShingle Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
Abedin Abedin
title_short Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
title_full Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
title_fullStr Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
title_full_unstemmed Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
title_sort Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Ahmed Bouteska
Taimur Sharif
Abedin Abedin
format Journal article
container_title The Quarterly Review of Economics and Finance
container_volume 92
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publishDate 2023
institution Swansea University
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doi_str_mv 10.1016/j.qref.2023.07.008
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
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department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.qref.2023.07.008
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description On a univariate setting, this study aims to: (a) model the volatility of Bitcoin, Dash, Monero, and Stellar, (b) check the eventual existence of structural breaks in their volatility, and (c) investigate the interconnection amid the cryptocurrency volatilities, the US equity and bond markets’ volatility, and the COVID-19 impacts. To accomplish these objectives, we adopt a comparative approach to select the GARCH model, use Inclán and Tiao’s (1994) Iterated Cumulative Sums of Squares (ICSS) algorithm, and then estimate a Simultaneous Equation Model (SEM), respectively. We find convincing evidence of the existence of return-volatility spillovers amid Bitcoin, Dash, and Stellar, and the role of Monero as the principal transmitter of shocks. We also observe a nexus of the cryptocurrency market with the US energy market but do not see any connectivity with the US bond market. Furthermore, we suggest that the observed period of high financial uncertainty, low economic sentiment, and the pandemic-led problems in the US energy market exert significant impact on the prices of Bitcoin, Dash, and Stellar, mainly receiving short-lived shocks. The findings of this paper have implications for fund managers and policymakers to ensure a right timing of their intervention and minimize risks during uncertainties in the wake of the Black Swan events, such as the COVID-19, the Russia-Ukraine conflict, etc.
published_date 2023-12-31T17:18:34Z
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