Volatility Spillover and Directionality in Cryptocurrency and Metal Markets

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2023-08-31 DOI:10.1177/09726527231192143

Sumanjay Dutta, Parthajit Kayal, G. Balasubramnaian

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引用次数: 0

Abstract

This article investigates the dynamic relationship between cryptocurrencies and metals, examining the existence and direction of volatility spillovers. While previous studies have explored the relationships between different cryptocurrencies and between base metals and gold, there is a notable gap in understanding the volatility spillover nexus among cryptocurrencies. This study makes a significant contribution by employing the Time-Varying-Parameter-Vector-Autoregressive (TVP-VAR) total connectedness measure to assess the strength of association between these assets. Our analysis employs 10-year daily returns data for three cryptocurrencies (Bitcoin, Litecoin, and Ethereum) and two metals (Gold and Copper). As we witness major economic events worldwide, this study is particularly relevant, as it provides insights into potential hedging opportunities. To comprehend the risk contagion patterns, various measures of partial and dynamic connectedness are computed, supporting the earlier TVP-VAR analysis. The findings indicate that Litecoin and Ethereum exhibit a high level of connectedness, while Bitcoin remains relatively less connected. Among the metals, Gold and Copper demonstrate similar levels of connectedness in certain cases. Notably, there is a significant risk contagion between Litecoin and metals. These results hold essential implications for policy-makers and portfolio managers with different time horizons, offering valuable insights into risk contagion within the cryptocurrency and metal markets. JEL Codes: C32; G15; G17; G41

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加密货币和金属市场的波动性溢出和方向性

本文研究了加密货币和金属之间的动态关系，考察了波动溢出的存在和方向。尽管之前的研究探索了不同加密货币之间以及基本金属和黄金之间的关系，但在理解加密货币之间的波动溢出关系方面存在显著差距。本研究通过使用时变参数向量自回归（TVP-VAR）总连通性测度来评估这些资产之间的关联强度，做出了重大贡献。我们的分析采用了三种加密货币（比特币、莱特币和以太坊）和两种金属（黄金和铜）的10年每日回报数据。当我们目睹世界各地的重大经济事件时，这项研究尤其重要，因为它为潜在的对冲机会提供了见解。为了理解风险传染模式，计算了部分连通性和动态连通性的各种度量，支持早期的TVP-VAR分析。研究结果表明，莱特币和以太坊表现出高度的连通性，而比特币的连通性相对较弱。在这些金属中，金和铜在某些情况下表现出相似的连通性。值得注意的是，莱特币和金属之间存在显著的风险传染。这些结果对不同时间范围的决策者和投资组合经理具有重要意义，为加密货币和金属市场中的风险传染提供了宝贵的见解。JEL代码：C32；G15；G17；G41

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.