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

文献类型：期刊论文

作者Jiang, Shangrong1; Li, Yuze2,3; Lu, Quanying3; Wang, Shouyang1,3,4; Wei, Yunjie3,4
刊名RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
出版日期2022
卷号59页码:14
关键词Volatility spillover Financial property TVP-VAR model Variational mode decomposition Hypotheses testing
ISSN号0275-5319
DOI10.1016/j.ribaf.2021.101543
英文摘要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.
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
语种英语
WOS记录号WOS:000708427100023
出版者ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/59443]  
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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