Zhang, Yue-JunBouri, ElieGupta, RanganMa, Shu-Jiao2022-07-072022-07-072021-01Zhang, 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.2020.101296.1062-9408 (print)1879-0860 (online)10.1016/j.najef.2020.101296https://repository.up.ac.za/handle/2263/86060In 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© 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.BitcoinFinancial marketsAsset classesDownside risk spilloverExpectile VaRVector autoregressive (VAR)ARCH-expectile model with conditional autoregressive structure (CAR-ARCHE)Preprint Article