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

Financial Innovation 2023年第1期9卷 2339-2365页

作者： Walid Mensi Mariya Gubareva Hee‑Un Ko Xuan Vinh Vo Sang Hoon Kang Department of Economics and Finance College of Economics and Political ScienceSultan Qaboos UniversityMuscatOman Institute of Business Research University of Economics Ho Chi Minh CityHo Chi Minh CityVietnam Universidade de Lisboa Lisbon 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 Corporation BusanKorea Institute of Business Research and CFVG University of Economics Ho Chi Minh CityHo Chi Minh CityVietnam PNU Business School Pusan National UniversityBusanRepublic of Korea

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.

关键词： Cryptocurrency Uncertainty indices Quantile spillover crossquantilogram

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