High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.authorAslan, Aylin
dc.citation.spage101031en_US
dc.citation.volumeNumber50en_US
dc.contributor.authorMensi, W.en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorAslan, Aylinen_US
dc.contributor.authorKang, S. H.en_US
dc.date.accessioned2020-02-07T11:28:04Z
dc.date.available2020-02-07T11:28:04Z
dc.date.issued2019
dc.departmentDepartment of Managementen_US
dc.description.abstractThis study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and Yilmaz (2014) and Baruník, Kočcenda, and Vácha (2017). The results show evidence of significant volatility spillover effects between Bitcoin and precious metals. Moreover, the risk spillovers vary over time and are sensitive to slowdowns in economic activity and political events (e.g., the Brexit vote and the US presidential election). Palladium is the largest net contributor of spillovers while Bitcoin is a net recipient. Finally, evidence of asymmetry in semi-volatility transmission shows that Bitcoin heavily transmits net-positive spillovers to other assets. The results of our research are of interest and importance to investors, portfolio managers, and policy-makers, as the results can readily inform their decision-making.en_US
dc.embargo.release2021-11-01
dc.identifier.doi10.1016/j.najef.2019.101031en_US
dc.identifier.issn1062-9408
dc.identifier.urihttp://hdl.handle.net/11693/53170
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.najef.2019.101031en_US
dc.source.titleNorth American Journal of Economics and Financeen_US
dc.subjectBitcoinen_US
dc.subjectPrecious metalsen_US
dc.subjectHigh frequencyen_US
dc.subjectAsymmetric volatility connectednessen_US
dc.titleHigh-frequency asymmetric volatility connectedness between Bitcoin and major precious metals marketsen_US
dc.typeArticleen_US

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