Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

Grira, Jocelyn; Guizani, Sana; Kahloul, Ines

doi:10.1108/jrf-01-2022-0003

Cited by 7 publications

(3 citation statements)

References 43 publications

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“…Main findings suggested that Bitcoin has limited hedging properties particularly during periods of turmoil. and Grira et al (2022) confirmed also that Bitcoin does not act as a safe haven tool seeing that its price has fallen with the S&P 500 during the COVID-19 market turmoil. Similarly, examined the safe haven properties of Bitcoin, Ethereum and Tether using value at risk and the conditional value at risk.…”

Section: Literature Reviewmentioning

confidence: 71%

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Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

Omri¹

2023

JRF

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PurposeThis paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin.Design/methodology/approachDaily data of 15 developed and 15 emerging stock markets are used for the period March 2017–December 2021.; The author uses vector autoregressive (VAR) model, Granger causality test and impulse response function (IRF) to estimate the results of the study.FindingsEmpirical results show a significant unidirectional volatility spillover impact from emerging markets to Bitcoin and only six stock markets are powerful predictors of Bitcoin return in the short term. Additionally, there is no a difference between developed and developing markets regarding the directional predictability however there is difference in the reaction of Bitcoin return to shocks in the emerging markets compared to developed ones.Originality/valueThe paper proposes different econometric techniques from prior research and presents a comparative analysis between developed and emerging markets.

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Section: Literature Reviewmentioning

confidence: 71%

“…Main findings suggested that Bitcoin has limited hedging properties particularly during periods of turmoil. Conlon and Mcgee (2020) and Grira et al . (2022) confirmed also that Bitcoin does not act as a safe haven tool seeing that its price has fallen with the S&P 500 during the COVID-19 market turmoil.…”

Section: Literature Reviewmentioning

confidence: 91%

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

Omri¹

2023

JRF

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“…Mostly, the hedging capacity of Bitcoin and the safe haven hypothesis have been tested. For example, the study (Grira et al , 2022) examined the safe haven properties of Bitcoin with reference to COVID-19 and that Bitcoin was used by investors as an investment option. Similarly, a study on the stock market behaviour of the selected Asian countries during the COVID-19 pandemic by Mishra and Mishra (2020) observed that stock market volatility occurred due to the uncertainties influencing investment behaviour due to the COVID-19 outbreak.…”

Section: Literature Reviewmentioning

confidence: 99%

Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement

Mishra,

Dash

2024

JCEFTS

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Purpose This study aims to investigate the conditional volatility of the Asian stock market concerning Bitcoin and global crude oil price movement. Design/methodology/approach This study uses the newest Dynamic Conditional Correlation (DCC)-Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to examine the conditional volatility of the stock market for Bitcoin and crude oil prices in the Asian perspective. The sample stock market includes Chinese, Indian, Japanese, Malaysian, Pakistani, Singaporean, South Korean and Turkish stock exchanges, with daily time series data ranging from 4 April 2015−31 July 2023. Findings The outcome reveals the presence of volatility clustering on the return series of crude oil, Bitcoin and all selected stock exchanges of the current study. Secondly, the outcome of DCC, manifests that there is no short-run volatility spillover from crude oil to the Malaysian, Pakistani and South Korean and Turkish stock markets, whereas Chinese, Indian, Japanese, Singapore stock exchanges show the short-run volatility spillover from crude oil in the short run. On the other hand, in the long run, there is a volatility spillover effect from crude oil to all the stock exchanges. Thirdly, the findings suggest that there is no immediate spillover of volatility from Bitcoin to the stock markets return volatility of China, India, Malaysia, Pakistan, South Korea and Singapore. In contrast, both the Japanese and Turkish stock exchanges exhibit a short-term volatility spillover from Bitcoin. In the long term, a volatility spillover effect from Bitcoin is observed in all stock exchanges except for Malaysia. Lastly, based on the outcome of conditional variance, it can be concluded that there was increase in the return volatility of stock exchanges during the period of the COVID-19 pandemic. Research limitations/implications The analysis below does not account for the bias induced due to certain small sample properties of DCC-GARCH model. There exists a huge literature that suggests other methodologies for small sample corrections such as the DCC connectedness approach. On the other hand, decisive corollaries of the conclusions drawn above have been made purely based on a comprehensive investigation of eight Asian stock exchange economies. However, there is scope for inclusive examination by considering other Nordic and Western financial markets with panel data approach to get more robust inferences about the reality. Originality/value Most of the empirical analysis in this perspective skewed towards the Nordic and Western countries. In addition to that many empirical investigations examine either the impact of crude oil price movement or Bitcoin performance on the stock market return volatility. However, none of the examinations quests the crude oil and Bitcoin together to unearth their implication on the stock market return volatility in a single study, especially in the Asian context. Hence, current investigation endeavours to examine the ramifications of Bitcoin and crude oil price movement on the stock market return volatility from an Asian perspective, which has significant implications for the investors of the Asian financial market.

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Do infectious diseases explain Bitcoin price Fluctuations?

Aliu

2024

Journal of International Financial Markets, Institutions and Mo

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Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

Cited by 7 publications

References 43 publications

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement

Do infectious diseases explain Bitcoin price Fluctuations?

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