The linkage between Bitcoin and foreign exchanges in developed and emerging markets

作     者：Ahmed BenSaïda 

作者机构：LaREMFiQ LaboratoryUniversity of SousseSousseTunisia College of BusinessEffat UniversityJeddahSaudi Arabia 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2023年第9卷第1期

页      面：1003-1029页

核心收录：

学科分类：0303[法学-社会学] 120301[管理学-农业经济管理] 12[管理学] 0202[经济学-应用经济学] 03[法学] 1203[管理学-农林经济管理] 1202[管理学-工商管理] 05[文学] 0503[文学-新闻传播学] 

主　　题：Cryptocurrency Fiat currency Bitcoin crashes Market integration 

摘      要：This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries:the developed G7 and the emerging *** methodology adopts the regular(R)-vine copula and compares it with two benchmark models:the multivariate t copula and the dynamic conditional correlation(DCC)GARCH ***,this study examines whether the Bitcoin meltdown of 2013,selloff of 2018,COVID-19 pandemic,2021 crash,and the Russia-Ukraine conflict impact the linkage with conventional *** results indicate that for both currency baskets,R-vine beats the benchmark ***,the dependence is better modeled by providing sufficient information on the shock transmission ***,the cross-market linkage slightly increases during the Bitcoin crashes,and reaches significant levels during the 2021 and 2022 crises,which may indicate the end of market isolation of the virtual currency.