Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach
| dc.contributor.author | Zhang, Yue-Jun | |
| dc.contributor.author | Bouri, Elie | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Ma, Shu-Jiao | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2022-07-07T08:30:02Z | |
| dc.date.available | 2022-07-07T08:30:02Z | |
| dc.date.issued | 2021-01 | |
| dc.description.abstract | In order to challenge the existing literature that points to the detachment of Bitcoin from the global financial system, we use daily data from August 17, 2011–February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence to imply the existence of downside risk spillover between Bitcoin and four assets (equities, bonds, currencies, and commodities), which seems to be time dependent. Our main findings have implications for participants in both the Bitcoin and traditional financial markets for the sake of asset allocation, and risk management. For policy makers, the findings suggest that Bitcoin should be monitored carefully for the sake of financial stability. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2022 | en_US |
| dc.description.sponsorship | National Natural Science Foundation of China, National Program for Support of Top-notch Young Professionals, Changjiang Scholars Program of the Ministry of Education of China, and Hunan Youth Talent Program. | en_US |
| dc.description.uri | https://www.elsevier.com/locate/najef | en_US |
| dc.identifier.citation | Zhang, Y.-J., Bouri, E., Gupta, R. et al. 2021, 'Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach', The North American Journal of Economics and Finance, vol. 55, art. 101296, pp. 1-10, doi : 10.1016/j.najef.2020.101296. | en_US |
| dc.identifier.issn | 1062-9408 (print) | |
| dc.identifier.issn | 1879-0860 (online) | |
| dc.identifier.other | 10.1016/j.najef.2020.101296 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/86060 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2021 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 55, art. 101296, pp. 1-10, 2021. doi : 10.1016/j.najef.2020.101296. | en_US |
| dc.subject | Bitcoin | en_US |
| dc.subject | Financial markets | en_US |
| dc.subject | Asset classes | en_US |
| dc.subject | Downside risk spillover | en_US |
| dc.subject | Expectile VaR | en_US |
| dc.subject | Vector autoregressive (VAR) | en_US |
| dc.subject | ARCH-expectile model with conditional autoregressive structure (CAR-ARCHE) | en_US |
| dc.title | Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach | en_US |
| dc.type | Preprint Article | en_US |