Tail spillover effects between cryptocurrencies and uncertainty in the gold,oil,and stock markets

作     者：Walid Mensi Mariya Gubareva Hee‑Un Ko Xuan Vinh Vo Sang Hoon Kang 

作者机构：Department of Economics and FinanceCollege of Economics and Political ScienceSultan Qaboos UniversityMuscatOman Institute of Business ResearchUniversity of Economics Ho Chi Minh CityHo Chi Minh CityVietnam Universidade de LisboaLisbon School of Economics and Management(ISEG)Research Centre in Economic and Organisational Sociology(SOCIUS)/Research in Social Sciences and Management(CSG)Rua Miguel Lupi 201249‑078 LisbonPortugal Korea Housing and Urban Guarantee CorporationBusanKorea Institute of Business Research and CFVGUniversity of Economics Ho Chi Minh CityHo Chi Minh CityVietnam PNU Business SchoolPusan National UniversityBusanRepublic of Korea 

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

年 卷 期：2023年第9卷第1期

页      面：2339-2365页

核心收录：

学科分类：0303[法学-社会学] 12[管理学] 0202[经济学-应用经济学] 02[经济学] 1203[管理学-农林经济管理] 03[法学] 05[文学] 020205[经济学-产业经济学] 0503[文学-新闻传播学] 

基　　金：supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(2022S1A5A2A01038422) 

主　　题：Cryptocurrency Uncertainty indices Quantile spillover Crossquantilogram 

摘      要：This study investigates tail dependence among five major cryptocurrencies,namely Bitcoin,Ethereum,Litecoin,Ripple,and Bitcoin Cash,and uncertainties in the gold,oil,and equity *** the cross-quantilogram method and quantile connectedness approach,we identify cross-quantile interdependence between the analyzed *** results show that the spillover between cryptocurrencies and volatility indices for the major traditional markets varies substantially across quantiles,implying that diversification benefits for these assets may differ widely across normal and extreme market *** normal market conditions,the total connectedness index is moderate and falls below the elevated values observed under bearish and bullish market ***,we show that under all market conditions,cryptocurrencies have a leadership influence over the volatility *** results have important policy implications for enhancing financial stability and deliver valuable insights for deploying volatility-based financial instruments that can potentially provide cryptocurrency investors with suitable hedges,as we show that cryptocurrency and volatility markets are insignificantly(weakly)connected under normal(extreme)market conditions.