A wavelet approach for causal relationship between bitcoin and conventional asset classes

Bhuiyan, Rubaiyat Ahsan; Husain, Afzol; Zhang, Changyong

doi:10.1016/j.resourpol.2020.101971

Cited by 45 publications

(25 citation statements)

References 57 publications

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“…We can observe from the wavelet coherence plot that BTC and USD have a weak relationship as the blue spectra are predominant with no statistical significance for both pre and during COVID-19 periods, particularly for the frequency scales higher than 32 days. However, the correlations during 2019/12-/2020/12 in the 8-32 days bands are rather strong, negative, and significant which are consistent with the study results of Bhuiyan, Husain, and Zhang (2021) , and Mokni and Ajmi (2021) . The arrows in the plot suggest BTC was influenced by USD at the beginning of 2020 but it turned to lead USD

at the end of 2020.…”

Section: Resultssupporting

confidence: 89%

The transition of the global financial markets' connectedness during the COVID-19 pandemic

Maneejuk

Kaewtathip

Jaipong

et al. 2022

The North American Journal of Economics and Finance

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at the end of 2020.…”

Section: Resultssupporting

confidence: 89%

The transition of the global financial markets' connectedness during the COVID-19 pandemic

Maneejuk

Kaewtathip

Jaipong

et al. 2022

The North American Journal of Economics and Finance

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“…Unlike Bhuiyan et al (2021), Bouri et al (2017Bouri et al ( , 2020, Chkili et al (2021), Selmi et al (2018), Zaighum et al (2021), our results provide limited evidence that Islamic finance and Bitcoin serve as alternatives to existing financial tools in terms of potential diversification and safe haven benefits.…”

contrasting

confidence: 57%

“…They revealed that gold exceeds Bitcoin as a safe haven asset. To discover the link between BTC, oil, gold, and a variety of indices, Bhuiyan et al (2021) by employing a wavelet approach, revealed that both BTC and gold may be utilized as diversifiers and safe havens during periods of fluctuating oil prices. In terms of diversity of Chinese investments, Bitcoin is comparable to gold by Pho et al (2021).…”

Section: Literature Reviewmentioning

confidence: 99%

On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

ALJASEM¹

2022

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The expansion of asset classes and the health, economic and geopolitical crises have made it necessary for investors to diversify their assets in international markets. This book aims to investigate the causal relationship between Bitcoin (BTC), Islamic Stock Markets (ISMs), and Oil. To this end, Firstly, the stationarity of the data series was checked using the Augmented Dickey-Fuller (ADF) and Philips Perron (PP) Tests for the period from August 18, 2011, to December 10, 2021. Then, after implementing the Vector Autoregressive (VAR) Model and various robustness checks to trace the existence of correlations between the variables, the Nonparametric Causality-in- Quantiles Test was utilized to determine the direction and strength of the relationship between the studied series. The results suggested that there are two-way causality-in- variance among variables. The strength of this causality especially rises in the normal market conditions but is weak in the upper quantiles except from BTC to DJI and from WTI to DJI. In terms of causality-in-mean, there is one-way causality from DJI to WTI in only a medium quantile.

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“…Furthermore, in order to classify cryptocurrencies, Ji HoKwon (2020) proved that they are an alternative for a medium of exchange and a means of investment being far from a commodity. For their part, Ahsan Bhuiyan et al (2021) also tried to identify the interrelationship between Bitcoin and the different asset classes. In fact, they found evidence of a strong bidirectional causality between gold and Bitcoin and a neutral relationship with the aggregate commodity index, crude oil, and the US dollar index.…”

Section: Literature Reviewmentioning

confidence: 99%

Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID-19 pandemic

Ghorbel

Loukil

Bahloul

2022

EJMBE

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PurposeThis paper analyzes the connectedness with network among the major cryptocurrencies, the G7 stock indexes and the gold price over the coronavirus disease 2019 (COVID-19) pandemic period, in 2020.Design/methodology/approachThis study used a multivariate approach proposed by Diebold and Yilmaz (2009, 2012 and 2014).FindingsFor a stock index portfolio, the results of static connectedness showed a higher independence between the stock markets during the COVID-19 crisis. It is worth noting that in general, cryptocurrencies are diversifiers for a stock index portfolio, which enable to reduce volatility especially in the crisis period. Dynamic connectedness results do not significantly differ from those of the static connectedness, the authors just mention that the Bitcoin Gold becomes a net receiver. The scope of connectedness was maintained after the shock for most of the cryptocurrencies, except for the Dash and the Bitcoin Gold, which joined a previous level. In fact, the Bitcoin has always been the biggest net transmitter of volatility connectedness or spillovers during the crisis period. Maker is the biggest net-receiver of volatility from the global system. As for gold, the authors notice that it has remained a net receiver with a significant increase in the network reception during the crisis period, which confirms its safe haven.Originality/valueOverall, the authors conclude that connectedness is shown to be conditional on the extent of economic and financial uncertainties marked by the propagation of the coronavirus while the Bitcoin Gold and Litecoin are the least receivers, leading to the conclusion that they can be diversifiers.

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A wavelet approach for causal relationship between bitcoin and conventional asset classes

Cited by 45 publications

References 57 publications

The transition of the global financial markets' connectedness during the COVID-19 pandemic

The transition of the global financial markets' connectedness during the COVID-19 pandemic

On the Linkage between Bitcoin, Islamic Stocks, and Oil Prices

Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID-19 pandemic

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