Bitcoin and global financial stress : a copula-based approach to dependence and causality in the quantiles
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| dc.contributor.author | Bouri, Elie
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| dc.contributor.author | Gupta, Rangan
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| dc.contributor.author | Lau, Chi Keung Marco
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| dc.contributor.author | Roubaud, David
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| dc.contributor.author | Wang, Shixuan
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| dc.date.accessioned | 2019-05-22T08:10:40Z | |
| dc.date.available | 2019-05-22T08:10:40Z | |
| dc.date.issued | 2018-08 | |
| dc.description.abstract | We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/qre | en_ZA |
| dc.identifier.citation | Bouri, E., Gupta, R., Lau, C.K.M. et al. 2018, 'Bitcoin and global financial stress : a copula-based approach to dependence and causality in the quantiles', The Quarterly Review of Economics and Finance, vol. 69, pp. 297-307. | en_ZA |
| dc.identifier.issn | 1062-9769 | |
| dc.identifier.other | 10.1016/j.qref.2018.04.003 | |
| dc.identifier.uri | http://hdl.handle.net/2263/69195 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Quarterly Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Quarterly Review of Economics and Finance, vol. 69, pp. 297-307, 2018. doi : 10.1016/j.qref.2018.04.003. | en_ZA |
| dc.subject | Bitcoin | en_ZA |
| dc.subject | Global financial stress index | en_ZA |
| dc.subject | Dependence | en_ZA |
| dc.subject | Copula | en_ZA |
| dc.subject | Quantiles | en_ZA |
| dc.title | Bitcoin and global financial stress : a copula-based approach to dependence and causality in the quantiles | en_ZA |
| dc.type | Preprint Article | en_ZA |
