Title: Asymmetric volatility spillovers between Bitcoin, oil, and global stocks in economic uncertainty

Authors: Surachai Chancharat; Parichat Sinlapates

Addresses: Faculty of Business Administration and Accountancy, Khon Kaen University, 40002, Thailand ' Faculty of Business Administration and Accountancy, Khon Kaen University, 40002, Thailand

Abstract: The shifting nature of volatility spillovers among Bitcoin, WTI oil, and the MSCI global index between two financial crises, the COVID-19 outbreak, and the Russia-Ukraine war, is examined in this paper. The BEKKGARCH model is applied to daily data for Bitcoin, crude oil, and the world stock index. Our empirical results suggest that the return spillovers for the Bitcoin-WTI, Bitcoin-MSCI, and WTI-MSCI pairings change among the four different periods. However, the volatility transmissions for the Bitcoin-WTI and Bitcoin-MSCI pairings change throughout the four study periods. These findings offer policymakers and portfolio managers useful information about risk management, forecasting, hedging, and portfolio diversification.

Keywords: Bitcoin; multivariate GARCH; oil; stock market; volatility spillover.

DOI: 10.1504/IJMEF.2024.139041

International Journal of Monetary Economics and Finance, 2024 Vol.17 No.2/3, pp.238 - 246

Received: 03 Feb 2023
Accepted: 29 Oct 2023
Published online: 10 Jun 2024 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article